The outgoing leader showed off her moves at Henley Festival - a black-tie music event where tickets cost up to 135 pounds a head, during the weekend, reports the Independent newspaper.
Besides dancing to the "Dancing Queen", the song she famously walked out to at the Conservative Party conference last year, May also sang along to other Abba hits including "Mamma Mia", "Take A Chance" and "Money Money Money" which were performed by a tribute band.
May's dance moves became a subject of media focus after she twice awkwardly danced in front of the cameras on a trip to South Africa and Kenya last summer.
May and her husband Philip will depart Downing Street on July 24, after being succeeded as Prime Minister by either Boris Johnson or Jeremy Hunt, the BBC reported.
She was forced to announce her exit in May, amid a revolt by Conservative MPs unhappy about her failure to take the UK out of the European Union (EU) on March 29 and her decision to open Brexit talks with the opposition Labour Party.
May assumed office on July 16, 2016, after then Prime Minister David Cameron resigned following following the outcome of the EU membership referendum in which 52 per cent of voters voted in favour of leaving the 28-member bloc.
( With inputs from IANS )