Pempheris bexillon has been found in the Mozambique Channel (Bassas da India,
Anjouan, Grande Comore) and on or near the Mascarene Plateau (Agaléga Islands, Cargados Carajos, Mauritius,
and Rodrigues). Collections were made with ichthyocide on coral or rocky reefs at depths less than 10 m in areas
with ledges, caves, and surge channels.