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The presenter was without his usual co-presenters Jeremy Clarkson and Richard Hammond in the series; however, eagle-eyed viewers noticed that he did appear to have company after all.
In two different episodes, people reported spotting mysterious ghouls fleetingly emerging in the background.
In the first instance, a ghost-like figure was seen as May stood in the destroyed ancient Roman city of Pompeii, which was wiped out in 79AD when nearby Mount Vesuvius erupted.
The second ghost evidently didn't have the same appreciation of historic locations, as it was spotted in a car park.
Clips of the ghosts went viral on social media, with people offering up all kinds of theories about what was going on.
May got involved in the speculation too, writing on Twitter after the first sighting: "Nobody saw it at the time, so it's either a real ghost or (more likely but also more boring) just a bit of digital file corruption."
But it turns out May was telling porkies. It's true that nobody saw the ghosts at the time - but it sure wasn't digital file corruption that made them materialise.
Speaking to LADbible to promote The Grand Tour presents: A Scandi Flick - which is out later this month - the 59-year-old said: "You can have the scoop - we put them there deliberately.
"All the shows I've made have always had a little Easter egg of some sort in. Like in the Japan show [James May: Our Man in Japan], if you watch very carefully you'll see Godzilla in the background.
"At one point Godzilla is in my bed in my hotel room, if you watch very carefully.
"The ghost is actually a Roman soldier. We just decided we'd put it in very, very subtly as a little joke and something for people to look out for."
He added: "It's just a little sort of knowing joke with the viewers, for those paying attention.
"There is another one that nobody's spotted yet - so very, very, very subtle."
And if you've not got much in the diary at the moment, May tells us that ghost is in the final episode, if you fancy yourself a little settee spectre search.
May returns to Prime Video with his usual collaborators, Clarkson and Hammond, in the latest edition of The Grand Tour, which sees the trio head for the icy wastes of the Scandinavian Arctic Circle at the wheel of their favourite rally cars.
Of course, they started embarking on shenanigans like this two decades ago on Top Gear, so are they not sick of each other yet?
"I think we've always been fairly sick of each other," May replied. "That's part of what makes it work.
"It is ultimately professional [their relationship] because as I've said before, it is a job first and foremost. People who work together on TV don't even have to be friends. There are plenty of examples of people who aren't.
"It's a bit like rock and roll as well. There are a lot of bands who actually hate each other, Fleetwood Mac and The Police and so on. They famously didn't get on supposedly, but they continued to make great music. So it's a job."
He continued: "I suppose our relationship has probably become more knowing, because we really do know each other now.
"It's been a long time and we've spent a long time together, sometimes in quite arduous circumstances - in the middle of deserts or stuck in Argentina with an angry mob after us, and that sort of thing.
"So I think we probably know each other's strengths and weaknesses quite well, and where we can and can't depend on each other. So it's matured, but it still has life in it."
The Grand Tour presents: A Scandi Flick launches on Prime Video on 16 September.