May met Gordon William Lillie who became famous as Pawnee Bill while attending Smith College in 1886, they married at her parents’ home in Philadelphia later that year.

[2] While on tour in 1907, May gave a speech to women in Chicago, she said: "Let any normally healthy woman who is ordinarily strong screw up her courage and tackle a bucking bronco, and she will find the most fascinating pastime in the field of feminine athletic endeavor.

There is nothing to compare, to increase the joy of living, and once accomplished, she’ll have more real fun than any pink tea or theater party or ballroom ever yielded.

They built a cabin, established a buffalo herd, and, in 1910, completed work on their Arts and Crafts style home.

[1] In 2011, May Lillie was inducted into the National Cowgirl Hall of Fame for her tireless work during her Wild West show career as well as her role in the preservation of the American bison.