May Road was named after Sir Francis Henry May, a Dublin-born civil servant who battled corruption in the police force and an outbreak of plague during his years of service in Hong Kong.

May arrived in Hong Kong as a cadet officer in 1881. He became captain superintendent of Police in 1893 and in 1902 was appointed as colonial secretary, serving for eight years before being posted to Fiji.

He returned in 1912 as Hong Kong's 15th governor by which time May Road already bore his name. His wife Lady Helena May established the Helena May Institute on Garden Road in 1916 to help women living and working away from home and contributing to Hong Kong's community.