The Prime Minister described the court proceedings as a “harrowing” ordeal for Mrs Cox’s family.
Thomas Mair was last week convicted and sentenced to life in prison over the murder of Mrs Cox.
Mrs May was speaking in the House of Commons at Prime Minister’s Questions in response to a question about Mrs Cox’s work on the issue of loneliness.
Conservative MP Seema Kennedy and Mrs Cox were establishing a commission to look at the issue when she was killed. Leeds West MP Rachel Reeves is now continuing its work with Mrs Kennedy.
Mrs May said: “I’m sure the whole House would want to join with me in commending Jo’s family for the very dignified way in which they dealt with matters as the court case was going through.
“It must have been very harrowing for them.”
Mrs May said she was “very pleased” the work of the commission on loneliness would be continuing.
She added: “We have over the years, I think, failed to understand the impact that loneliness has on people’s psychological health but also their physical health as well.
“Ministers will look forward to receiving the results of the commission.”