The Chicago Sky began the 2016 campaign at the Allstate Arena on May 14 with a convincing 93-70 victory over the Connecticut Sun. In the absence of 2015 WNBA MVP Elena Delle Donne, out due to illness, Courtney Vandersloot (14 points, seven assists) and Cappie Pondexter (13 points) paced the Sky. Chicago played host to the Minnesota Lynx in a matinee matchup on May 18. Delle Donne made her 2016 season debut, notching 28 points and six rebounds in a losing effort.
The Sky played their first road game of the season in Atlanta on May 22. Jessica Breland recorded her 10th career double-double with a 14-point, 10-rebound effort, while also blocking a career-high three shots in a closely contested loss. Chicago returned home to face the Los Angeles Sparks on May 24. Jamierra Faulkner posted 17 points and 10 assists, her first double-double of the season; and Erika de Souza, with her fourth rebound of the game, passed Tammy Sutton Brown for 19th all-time in career rebounds in WNBA history.
May came to a close with two games in Texas against San Antonio and Dallas, respectively, with the latter resulting in a victory. Against Dallas, six Sky players scored in double figures, including rookie Imani Boyette who posted career highs with 10 points, eight rebounds and four blocks. Over the final three games in May, Faulkner averaged a double-double with 13 points and 10 assists. The Sky finished the first month of the season with a 2-4 record.