In an interview with 'The Sunday Times' magazine, she said that the negotiations with the European Union (EU) over Britain's exit from the economic bloc had contributed to her working long into the night.
"In this job you don't get much time to sleep," the 60-year-old prime minister said.
May became UK's second female Prime Minister on July 13 after Margaret Thatcher.
Asked about her "biggest anxieties" and what kept her awake at night, May said: "It's a moment of change. It's a hugely challenging time. And we need to get on with the terms of Brexit. And I'm very conscious of that."
"I want to make sure that everything we do does ensure Britain is a country that works for everyone. And that we really get out there and forge a new role in the world post-Brexit.
"We can make a success of it, we will make a success of it but these are really complex issues. We need to get on with the deal in terms of Brexit. We need to get the best deal possible for the UK," she said.
In one of her most personal interviews so far, May said that that her husband Philip John May gave her advice on her wardrobe and accessories.
"It's taken a bit of adjusting for him to see people writing about what he wears and taking selfies of him, but he's getting used to it! He's been surprised by how much interest he's had. Philip says he gets 90 per centof the fun for only 10 per centof the effort," she said of her husband of 36 years.
Opening up about her own childhood as the only child of a clergyman, May also said some of what drives her - her Christian faith, her self-belief and her sense of duty.
She said: "There was never any suggestion that because I was a girl there were things I couldn't do. My parents' approach was very much: whatever you do, do your best. There was never any suggestion that because I was a girl there were things I couldn't do.
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