The Prime Minister said not being able to have children with her husband Philip has been "very sad" but Christianity has been "a support".
Speaking with broadcaster LBC, the Prime Minister said: "It's been very sad, it just turned out not to be possible for us.
"Of course, we are not the only couple that finds ourselves in that situation and when you do I suppose you just get on with life.
"We've got nephews and nieces."
At the age of 25, Mrs May lost her father, Rev Hugh Brasier, in a car crash and her mother, Zaidee passed away a few months later.
The PM went on to say the loss reinforced for her the "importance of public service" that she had learned from her parents.
She continued: "It did have quite an impact on me.
"I was very fortunate in that I had been married not that long beforehand and Philip has been a fantastic support for me. He really was my rock at that time.
"I was an only child so I didn't have brothers and sisters that I could share it with. Suddenly, there I was without the two people who had brought me up and had meant so much to me throughout my life.
"I think my faith helped in just being a support there for me."
When it was suggested whether hardship in her life might cause her to lose her faith, Mrs May answered: "No, because, it's difficult to explain in simple words but actually the faith was there and did provide support for me through those difficult times."