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May was born in Hartford, Connecticut, the daughter of Stephanie (Middleton), a sculptor, pianist, and writer, and John Middleton May, an accountant. Her father was born in New York and raised in England, and her mother was also a native New Yorker. She has a younger brother named Geoffrey. Her mother was a prominent anti-nuclear activist and her father was Assistant Vice President of Aetna Life and Casualty. The family moved to Margaree Harbour, Nova Scotia in 1972, following a summer vacation spent on Cape Breton Island. On moving to the province, the May family purchased a landlocked schooner, the Marion Elizabeth which had been used as a gift shop and restaurant since the mid 1950s. They operated this establishment from 1974 until 2002.
