May was born in Mid Lavant, the son of Sir Humphrey May, Chancellor of the Duchy of Lancaster and his second wife, Judith daughter of Sir William Poley. He was a cousin of Hugh May, the architect. Baptist was appointed Groom of the Bedchamber to the Duke of York (the future James II) in 1662 and Keeper of the Privy Purse to the King three years later, thanks to the influence of Charles's mistress, Barbara Palmer (née Villiers), Countess of Castlemaine. Castlemaine wanted to ensure that the Keeper was an ally; this would ensure that the payments due to her would become a high priority.
