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I have been recently reading Romeo and Juliet, and towards the beginning of the balcony scene, Juliet says

Ay me.

What does this phrase mean and when was it first created/used?

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    Ay me: From Middle French aymi. Interjection (now archaic) Expressing grief, sorrow. en.m.wiktionary.org/wiki/ay_me
    – Gio
    Commented Nov 17, 2023 at 20:23
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    @Gio please post as an answer. Commented Nov 17, 2023 at 20:48
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    More commonly expressed as "Ah me!" (The Italian for Alas is still Ahimè.) Commented Nov 18, 2023 at 8:58

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At the time of writing, English was heavily influenced by French. It may therefore be best to look to France for an explanation:

Glossaire de la Langue Romaine
has: Ainmi, aimi, aimini, aymi, emi, heimi, hemi; Exclamation. Le pronom mi, moi, réuni à l'optatif du verbe aier, aider, a produit ces exclamations composées.

Loosely translated, this says:

Ainmi, aimi, aimini, aymi, emi, heimi, hemi; Exclamation.
The pronoun mi or moi, joined to the optative form of the verb aier, or aider, (to help) has produced these joined exclamations.

The optative form is a grammatical mood that indicates a wish or hope regarding a given action. Hence we may understand Juliet to be saying "I hope I may be helped", which fits the context of her difficult amorous predicament. .

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    The OP also asked when it was first used in English. Commented Nov 18, 2023 at 14:34
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    @Heartspring Indeed they do but, lacking reliable information, I cannot answer that part.
    – Anton
    Commented Nov 18, 2023 at 21:16

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