Across much of their range (Zimbabwe, Zambia and Tanzania), Sharpe's Grysbok appear to be associated with miombo (Brachystegia) woodland where there is good undercover in the form of low-growing scrub or medium-length grass (Hoffmann and Wilson 2013). Although they appear to be associated with areas of good ground cover, Wilson (1975) recorded that they were also found in pure stands of mopane (Colophospermum mopane) with very little good cover in Hwange National Park, while in Chobe National Park they were seen on a sandy plateau in open woodland with light grass and scrub cover. Sharpe's Grysbok are predominantly browsers, but will also graze (Hoffmann and Wilson 2013).

Sharpe’s Grysbok range from the western and southern parts of Tanzania, southwards through south-eastern DR Congo, Zambia (east of the Zambezi River), Malawi, Mozambique (not including the coastal forested regions), to extreme north-eastern Botswana and the eastern Caprivi Strip in Namibia, much of Zimbabwe, and north-east South Africa (Limpopo Province, eastern Mpumalanga) and eastern Swaziland (Hoffmann and Wilson 2013).

About one-third of the total population occurs in protected areas, including: Selous Game Reserve (Tanzania), Upemba National Park (DR Congo), Kafue National Park and Luangwa Valley (Zambia), Lengwe National Park (Malawi), Banhine National Park (Mozambique), Hwange National Park and Gonarezhou National Park (Zimbabwe) and Kruger National Park (South Africa) (East 1999, Hoffmann and Wilson 2013).