After working for the railroad for a time, he went into business with James W. McLaughlin, who had been a former secretary to Jay Gould. Together they organized the Mays-McLaughlin Steel Co., which was capitalized at $10,000,000. Mays was the president of the company. They erected a large steel plant at Greensburg and began manufacturing patent rail. Legal complications ensued and Mays lost all of his money. Although he was able to keep his beautiful home in the East End of Pittsburgh, he had to return to work with the railroad.