Traditional springtime "May Day" celebrations were organized at Indiana University as early as 1897, when IU Musical Director C. Norman Hassler presented the May Music Festival, a grand concert and oratorio in the Men's Gymnasium. The "Indiana University May Festival" began in 1905 under the auspices of the Indiana University Lecture Association. Modeled on the 1897 event, the festival featured orchestral and choral performances by German, American, and local musicians in the Men's Gymnasium.

Starting in 1908, the Women's Athletic Association (WAA) and IU Department of Physical Education for Women co-organized the May Festival and highlighted exercises and dance programs at the Women's Gymnasium. By the 1920s, due to the growth and popularity of the event, the festival was moved to Dunn Meadow. The event included a "Dance Drama" program presented by singers and students from the Department of Physical Education's natural dancing classes. The Women's Student Government Association (WSGA) also sponsored the construction of a large May pole and the crowing of a May Queen.

The WAA and Department of Physical Education for Women continued to organize an annual May Festival through at least 1928, although other organizations such as women's residence hall groups organized their own festivities in following years.