The First Lady, who is on an official visit with husband Donald Trump, donned a glamorous yellow chiffon cape dress to attend a gala dinner at Blenheim Palace.
Tens of thousands of people are expected to attend more than 100 protests being held across the country against the American President's visit over the weekend.
"Our trade and investment relationship is unrivaled - we are the largest investors in each other's economies and every day a million British people go to work for US companies in the United Kingdom and a million Americans go to work for United Kingdom companies in the US", May said.
He again postponed his visit in January this year after remarking that the relocation of the United States embassy in London was a "bad deal" made by President Obama, and that he was not interested in cutting the ribbon at the opening.
First lady Melania Trump disembarks after a flight with President Donald Trump.
"She sits there looking plain in her poker face and no one knows what she's thinking behind the mask", Brown said.
The president, however, is staying positive about his visit, telling reporters, "They like me a lot in the U.K. They agree with me on immigration". "And I believe it", the president said previous year of the welcome he was shown by China's President Xi.
Blenheim Palace is the birthplace of Winston Churchill, one of Trump's heroes and whose bust is on display in the Oval Office.
She listed Mr Trump's immigration policies, bans on some people entering the U.S., his foreign policies, and lack of support for taking action on climate change as having affects across the globe.
May has had to defend Trump's visit in the face of fiery criticism from opposition lawmakers.
They added: "Rather than an attack on one minority, Trump is an attack on the idea of diversity, and the ability for people to live their lives in a way that doesn't affect anyone else...this is about standing in solidarity with this is about protecting our right to be different from one another and to get along".
"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".
"I think that's why Brexit happened", he told a news conference before flying to Stansted Airport north of London.
"I think whenever his detractors go after him, it makes him double down and it actually encourages him to keep going and prove everybody wrong", she said.
Trump is on a "working visit" rather than a full state occasion.
The trip includes meetings with Prime Minister Theresa May, who has described the United States as Britain's strongest ally, and is determined to secure a trade deal after the country acts on Brexit and leaves the European Union in March 2019.
On Friday night, the president will travel to Scotland, Turnberry, the South Ayrshire golf resort he bought in 2014.