Trump personally criticized May's handling of Brexit, saying that her so-called soft-Brexit approach went "the opposite way" to what he had recommended and that it was "very unfortunate".
The Trumps arrived at Stansted Airport near London on Air Force One earlier that afternoon for the controversial trip to Britain.
May insisted earlier Thursday that her plan was exactly what Britons had voted for in the 2016 referendum.
"I'm going to a pretty hot spot right now, right?"
Trump attended a black-tie dinner at Blenheim Palace with May on Thursday evening, where the TV network ITV reports May planned to pitch the president on a free-trade agreement between the United Kingdom and the U.S. after Brexit.
"I partially won an election because of immigration", he said, also pointing to Italy's recent vote, in which Giuseppe Conte took government after campaigning on a populist anti-immigration platform.
He said: "I think he has not been hospitable to a government that is very important". "I think North Atlantic Treaty Organisation is much stronger now than it was two days ago".
"This week we have an opportunity to deepen this unique trading relationship and begin discussions about how we will forge a strengthened, ambitious and future-proof trade partnership".More news: Doomsday cult leader, followers executed for 1995 sarin attack in Tokyo subway
The US Embassy in Britain has urged Americans to "keep a low profile" during the president's visit to London.
Speaking on the eve of his visit to Britain yesterday, the president said Khan was doing a "terrible job" in the capital by allowing migrants to flock to the city.
Activists inflate a giant balloon depicting US President Donald Trump as an orange baby in north London on July 10, 2018, ahead of a demonstration in London to coincide with the visit of the US president. "I think he's got what it takes".
Although Trump has said this practice will be stopped, thousands of children remain separated from their parents and face great difficulty locating their relatives.
"From the public, the welcome will be far from warm", he told lawmakers on Wednesday, noting there would be protests across the country against Trump's "abysmal record on human rights, his repugnant attitude toward women and his disgusting treatment of minorities".
Their first stop was to the ambassador's official residence at Winfield House in London, while being carefully protected from protesters.
Trump also had harsh words for current London Mayor Sadiq Khan, a fervent critic of the president, saying Khan "has done a bad job" running Europe's third-largest city.
On Friday, as Melania Trump will accompany Philip May, UK PM Theresa May's husband, in visiting schoolchildren and veterans, Donald Trump will once again head outside the city to attend a military demonstration with his UK counterpart.
Trade and security links, Brexit and the Middle East are among the issues to be discussed by Trump and May. Still, Queen Elizabeth has hosted 11 presidents since taking the throne on June 2, 1953.
Mr Trump is due to leave Scotland on Sunday, when he will travel to Finland for talks with Russian president Vladimir Putin.