May enjoyed a largely successful captaincy of both his county and country. Surrey had been County Champions for seven years running, with May the captain for the last two seasons, and until 1958 England was never defeated under his leadership. He had beaten South Africa 3–2 in 1955, considered by many to have been the most exciting Test series since the war, Australia 2–1 in 1956, the West Indies 3–0 in 1957 and New Zealand 4–0 in 1958. He was widely regarded as the best post-war batsman England produced, tall, strong and disciplined with a near-perfect technique, a straight bat and a complete range of strokes. His standards improved with the responsibilities of captaincy and his Test average as captain was 54.03. His highest score was at Edgbaston in 1957 when England trailed West Indies by 288 runs in the first innings; he made 285 not out, the highest score by an England captain until Graham Gooch's 333 in 1990, adding 411 with Colin Cowdrey – still an England record for any wicket – and destroyed the mesmerising hold the spinner Sonny Ramadhin had over English batsmen. In the low scoring Ashes series of 1956 he had made 453 runs and was out only once for less than 50, when he made 43. Although himself a highly educated amateur and a gentleman he realised that the old class divisions in English cricket were breaking down and under Len Hutton's leadership the amateur and professional had merged. He enjoyed the complete loyalty of the team and the selectors and was ready to help his players and smooth down feathers. As a captain he was a strict team disciplinarian who expected high standards, he was ruthless when the occasion demanded, but could be inflexible and unimaginative and lacked the charisma of a natural leader. In 1958–59 he played too defensively and surrendered the initiative too readily to Richie Benaud and he concentrated on saving runs instead of trying to get batsmen out. Faced with Ian Meckiff's questionable bowling in the disastrous First Test he declined to make an official complaint as it would appear unsporting. After the Australian tour May beat New Zealand 1–0, India 5–0 and led England to its first series victory in the West Indies 1–0. He lost 2–1 to the 1961 Australians and retired due to ill-health having been captain in a then record 41 Tests, Benaud being the only man to defeat him in a Test series. He retired entirely from first-class cricket in 1963, taking up a post in the City with the insurance brokerageWillis Faber Dumas; now Willis Group.
In 1959, May married Virginia Gilligan, a daughter of the former England captain Harold Gilligan and they had four daughters. May died at Liphook, Hampshire, from a brain tumour on 27 December 1994, four days before what would have been his 65th birthday.
Peter May was also an outstanding Eton Fives player, winning the Kinnaird Cup three years running, partnered by his brother, J.W.H. May. As a pair, the May brothers were invincible, and were never defeated.
May is mentioned in the Peter Hammill song " The Sub-Mariner", from the 1974 album, In Camera.