The UK rate of inflation remained unchanged at 8.7% in the 12 months to May - despite hopes it would fall.
This figure is the same that was recorded in April but is down from the 10.1% level of inflation we saw in March.
Crucially, this doesn't mean prices have stopped rising - they are still going up, just at a marginally slower rate.
Experts had predicted inflation would fall to 8.4%, heaping pressure on the Bank of England when it announces its latest interest rates decision tomorrow.
Another measure of inflation - core inflation, which excludes volatile categories including energy, food, alcohol, and tobacco - also unexpectedly rose to 7.1%, the highest in over 30 years.
Consumer Price Index (CPI) inflation data is released each by the Office for National Statistics (ONS) and measures the change in prices of goods and services over time.
The ONS noted the biggest contributors toward inflation remaining high were rising prices for travelling abroad, going to concerts and second-hand cars.
Falling prices for petrol led to the largest downward contribution - with fuel prices down by 13.1% compared with a fall of 8.9% in April.
The cost of food and non-alcoholic beverage rose by 18.4%, down from 19.1% in April and from 19.2% in March, which was the highest annual rate seen for over 45 years.
ONS chief economist Grant Fitzner said: "After last month's fall, annual inflation was little changed in May and remains at a historically high level.
"The cost of air fares rose by more than a year ago and is at a higher level than usual for May. Rising prices for second-hand cars, live music events and computer games also contributed to inflation remaining high."
"These were offset by a fall in the cost of petrol. Food price inflation remains high, but the rate has eased slightly this month with costs rising more slowly than this time last year."
What does inflation mean for your money
When inflation is higher, it means you're paying more for something compared to one year ago.
For example, if something cost £1 last year and the rate of inflation is 2%, it would now cost £1.02 today.
Inflation peaked at a 41-year high of 11.1% in October 2022 but is gradually coming down thanks to energy prices dropping - although it remains way above the 2% target set by the Bank of England, largely due to the cost of food.
The Bank of England has been raising interest rates to try and combat inflation.
By raising interest rates, the theory is that people spend less, demand goes down and then this should mean inflation drops.
But the downside is, borrowing becomes more expensive - and this has consequently driven up the cost of mortgages for millions of homeowners on variable rate deals, as well as those coming off fixed rates.
The base rate is currently at 4.5% following twelve hikes in a row since December 2021, when it stood at just 0.1%.
Chancellor Jeremy Hunt said: "We know how much high inflation hurts families and businesses across the country, and our plan to halve the rate this year is the best way we can keep costs and interest rates down.
"We will not hesitate in our resolve to support the Bank of England as it seeks to squeeze inflation out of our economy while also providing targeted support with the cost of living."
