The comedian had been battling pneumonia for six weeks and died of cardiac arrest.
With his "No Apologies" tour on the Las Vegas strip, the Tennessee-native became one of the most popular comedians in America thanks to his raw, edgy and uncensored comedy.
May had been battling pneumonia, which forced him to cancel a handful of dates over the last month in an effort to recover.
The Last Comic Standing star - who came second on the series in 2003 - passed away aged 45 after suffering a cardiac arrest at a private residence in Las Vegas, TMZ has confirmed.
He went on book gigs on "The Tonight Show with Jay Leno" and "The Wayne Brady Show" from there, while churning out stand-up specials for Comedy Central and, later Netflix.
"Oh man fellow comedian and my friend Ralphie May just died". "He was a friend to many and a father of 2 handsome children". Turner filed for divorce in 2015. They had two kids together: daughter April June and son August James.