Ms May is a sports physician at Grace Orthopaedic Centre and was medical director for the New Zealand triathlon team at the London Olympics and Mr Blair works for New Zealand Trade and Enterprise.
The Matua couple headed back to their hotel when Ms May finished the race after 3 hours and 25 minutes, 8 minutes after her husband. The bombs exploded near the finish line about 4 hours into the race.
Mr Blair told NZ Newswire he felt sorry for residents, who were still coming to terms with the death of 26 people, including 20 children, in a mass shooting at Sandy Hook Elementary School in the neighbouring state of Connecticut four months ago.
"One of the sad things is that the last of the 26 miles of the race was actually dedicated to those victims," Mr Blair said.
Ms May's mother, Adrienne May, woke to news of the Boston Marathon bombing coming from her bedside radio.
"The first thing I thought, of course, was of them. It's just you think, 'Oh my golly, I hope they weren't involved' and then you want to have news."
She leapt out of bed to call daughter Amanda Green and her fears were eased. Mrs Green had just received a text saying the couple were safe. As soon as Mrs May hung up she got a text message from her daughter in Boston.
It read: "Just to let you know, Steve and I are safe and sound. Finished marathon and back in hotel".
"We're just happy that they are safe. It's pretty scary when they are on the other side of the world," said Mrs Green.
An 8-year-old boy is believed to be among the dead and hospitals reported at least 144 injured, at least 17 of them critically.
The 45 New Zealanders registered for the race were unharmed.
Last night, police said they had no suspects in custody.
More about the Boston Marathon bombings in today's Bay of Plenty Times, on page 22 and 23.