In late 1894, May moved to Paris with her mother and brother; who was attending the École des Beaux-Arts. May's mother still hoped for her to marry, but May resented the Parisian high society. She went through periods of deep depression and insomnia and even considered entering a convent. In 1897 May lost both her grandmother and cousin whom she was very close to. At 27 May became obsessed with mortality and became bedridden leading to many of her family members believing she was going to die.