The pair are expected to discuss the fallout of June's Brexit vote.
The future of the Tata Steel plant in Port Talbot, where more than 4,000 jobs are at risk, is also on the agenda.
Mr Jones previously admitted he knows "very little" about Mrs May but hopes she would be able to deliver an improved devolution settlement.
Speaking ahead of the visit, she said: "In my first statement as prime minister I made clear how strongly I believe in the union.
'Vital' steel industry
