Brazilians Larissa Franca and Ana Paula Connelly only came together a day before the Olympics started, after Larissa's partner Juliana pulled out injured.
They had a tough time gelling in the pool rounds and lost their seed so had to face May-Treanor and Walsh, three-times world champions, earlier than expected.
"It's been very difficult to come to the Olympics and suddenly face the challenge of building a new team but I'm proud that we overcame it and did well in the end," Larissa said.
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May-Treanor and Walsh have not lost a match in almost a year and seemed to be on almost perfect form to beat the Brazilians 21-18, 21-15, although they still criticised their own play.
"We weren't playing at our best, our rhythm was off a bit and then we were playing a very good Brazilian team without really knowing how they play given that it's a new pairing," said May-Treanor.
"It's been tough on them but they're Brazil and Brazil in beach volleyball is always going to be great, no matter what."
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