Sangkhla Buri is located in the far west of the province, at the boundary to Myanmar. The Three Pagodas Pass is the border crossing station to Myanmar. A big part of the district is covered by the Khao Laem Reservoir, an artificial lake formed by the Vajiralongkorn Dam in the Khwae Noi River.
Neighboring are (from west clockwise) Tanintharyi Division, Mon State and Kayin State of Myanmar, the district Umphang of Tak Province, and Thong Pha Phum of Kanchanaburi.