Her mother, Jocelyn Hakim, is an art Teacher of French-Turkish Jewish descent who as a student arranged to marry artist-designer Malcolm McLaren to obtain citizenship, paying him £50 to marry her in a Lewisham register office in 1972. They later divorced, a move that cost McLaren’s grandmother £2,000 to secure for him. Jodhi has not publicly identified her father, besides stating he is German. She was educated at Camden School for Girls.

She was born Jodhi Tania Edwards in 1975 in Camden Town, London. Her name was later legally changed to Jodhi Tania May.

May first acted at the age of 12 for A World Apart (1988). For the role she received a Best Actress award at the 1988 Cannes Film Festival, shared with her co-stars Barbara Hershey and Linda Mvusi.

In 2002, May wrote and directed a short film called Spyhole.

In August 2005, May appeared in Blackbird by David Harrower alongside Roger Allam at the Edinburgh Festival in a production by German star Director Peter Stein. The play got a transfer to the Albery Theatre, London in February 2006. Blackbird subsequently won a best new play award.

In 2010, she played the lead role of Kay in Mark Haddon's play Polar Bears at the Donmar Warehouse.

May played Janet Stone in the 2011 noir thriller I, Anna, alongside Gabriel Byrne, Charlotte Rampling, Eddie Marsan, and Honor Blackman.

In 2015 she appeared in the Season 5 premiere of the HBO series Game of Thrones.