Nathan May, a Baptist, started a trading post one mile north of present-day May in 1879. Whether he worshipped in that small community or not cannot be really known. What is known is that he is listed as the clerk of "May Baptist Church" in the first available Pecan Valley Baptist Association Minutes in 1884. These minutes list May Baptist Church as having John May as pastor, Nathan May as clerk, and ten members meeting twice a month and as contributing to missions.

Since the earliest records of our church were lost, there is no way to know for sure when the church was officially organized. The earliest Pecan Valley Baptist Association Minutes using a statistical page shows the year organized as 1885, but subsequent years list it as 1886 and 1887. We know for sure that Baptists were meeting in May prior to 1884 and was most likely organized prior to this year. Perhaps the 1885 presently on the front of the building was the year that a separate building was used for church services. Prior to this time it was custom of many fledgling churches to meet in schools and homes. The first rectangular building was located northwest of the present high school agriculture shop and was moved to the current location of the property around World War I with stump pullers and mules. Since that time, many additions of an education building, office, fellowship hall, and sanctuary have been made.​

The history of May First Baptist Church is still being written. The buildings are not what make up the church. The people are the church. This is where growth has happened and will continue to happen until the return of Jesus Christ.

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