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.
In 1939 the district Wang Ka (วังกะ) was renamed to Sangkhla Buri, which was previously the name of the minor district Thong Pha Phum. On May 20, 1941 the district was downgraded to a minor district (King Amphoe) and made a subordinate of Thong Pha Phum district. It then consisted of the four tambon Nong Lu, Prangphle, Laiwo and Lang Phu Sa. It was again upgraded to full district status on July 27, 1965.