The theme of "May Day" is Scott Fitzgerald's favorite theme: money and privilege. More specifically, the story explores the divide between those who think money and privilege would make them happy and those who have these things and know that they do not.

Philip Dean is the story's primary representative of wealth and comfort. When Gordon Sterrett, a Yale classmate of Philip's who has since fallen on hard times, visits his old friend in his opulent rooms at the Biltmore, he cannot help comparing every detail of Philip's luxurious existence to his own. Philip's wealth, like Jay Gatsby's, is symbolized by his heavy, richly colored silk shirts, which Gordon contrasts enviously with his own shabby clothing.

Fitzgerald is most interested in the rich and in members of the upper classes. Their centrality to his plots seems to mirror their centrality in life: the working classes revolve around them like satellites, often displaying little will or purpose of their own. Carrol Key and Gus Rose, two of the working class characters in "May Day," do have a purpose—to get drunk—but even this modest ambition is difficult for them to achieve. They have to be smuggled inside Delmonico's, where the upper class characters easily obtain all the drinks they want, by Carrol's brother, a waiter. The toast later proposed by the rich Peter Himmel, in which he says "We're all Americans," is bitterly ironic given the abyss between his position and theirs.