May was a buccaneer prior to becoming a privateer during the Nine Years' War (1688- 1697).
May was hunting with William Kidd on Kidd's ship the Blessed William in 1689. In 1690, the crew stole the ship from Kidd and May became captain. May went to New York where he attacked French ships in the Gulf of Saint Lawrence. One of the prizes May renamed the Jacob, keeping her as his flagship.
In December 1690, May went to Madagascar then hunted off western India. In July 1693, May was commissioned to raid French slave stations in West Africa. May commanded the 16 gun ship the Pearl. Instead of fulfilling his commission, May raided shipping in the Red Sea and Persian Gulf. In June 1695, May joined Henry Avery. May shared in the rich prize the Gunsway. He plundered at least 3 ships off India's southwestern coast in 1696. He then returned to New York with £200,000, his own share being £7,000. January 1699, May was found back at Saint Mary's Island near Madagascar. May got wind that British pirate hunters were pursuing him at Madagascar. May put out to sea where he was quite successful. He reputedly arrived at New York with £300,000.

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