The guitarist also revealed the record in question to be his "favourite" LP out of all of the band's releases, noting that he loves "every minute" of it.
Speaking to Elis James and John Robins on BBC Radio 5 Live’s How Do You Cope podcast about living with depression and the grieving process, May reflects on working on Queen's music for the first time without the band's frontman.
“It was very weird. It was traumatising in itself" he explains. "I spent hours and days and weeks working on little bits of Freddie’s vocals. Listening to Freddie the whole day and the whole night. I’d have moments thinking, ‘This is great…this sounds great Fre… Oh, you’re not here’.
"It was quite difficult. You’d have to go away from it sometimes and recover and come back. But I felt this immense pride and joy in squeezing the last drops out of what Freddie left us.”
Made In Heaven was the first and only album the band worked on after the death of Freddie Mercury in 1991, following his battle with AIDS.
“I still love that album. I think it’s my favourite Queen album," May reveals. "There are things in there that are so deep. There’s pure gold in there.”
Elsewhere, May discusses the grieving process and states of denial after Mercury's passing, noting that to distract themselves from the pain, he and drummer Roger both threw themselves into their solo projects to "overcompensate" for the fact that their "brother" was missing from Queen.
"I think Roger and I both went through a kind of normal grieving process, but accentuated by the fact it has to be public. We sort of went into denial. Like, ‘Yeah well, we did Queen, but we do something else now’.
"Roger and I plunged into our solo work and didn’t want to talk about Queen. That seems almost nonsensical because we spent half of our lives constructing Queen. But we didn’t want to know at that time. It was a grieving thing. We just overcompensated. It went on for a long time.
“I went so far as to adapt John Lennon’s God song in my solo stage act to say, 'I don’t believe in Queen anymore'. That was a vast overreaction. I didn’t need to do that, why would I do that? Because I couldn’t cope with looking at it.”
In the same year of Mercury's death, May also lost his father to cancer. Recalling how he coped with the loss of two very important people from his life, he explains, “It was very hard. Hard to get perspectives. It was obviously massively important for me to lose my dad, and very difficult to come to terms with, but it was a private thing.
"Losing Freddie was like losing a brother, but yes it had the glare of public knowledge to go along with it.
“We were kind of dragged into a perpetual wheel of having to look at the loss of Freddie in a public way. That’s why I tend to hide away on the anniversary of his death.
"People do a lot of, sort of celebrating on the day of Freddie’s death, but I don’t want to and I don’t feel I can. I’ll celebrate his birthday, or the day we first got together, but the day of losing him will never be something I can put straight in my head. There was just nothing good about it.”