EXHIBIT 23.1 CONSENT OF INDEPENDENT ACCOUNTANTS We hereby consent to the incorporation by reference in the Registration Statement on Form S-8 (File No. 333-26311, File No. 333-26313, File No. 333-26315, File No. 333-26317, File No. 333-39765, File No. 333-80869, and File No. 333-118296) of The Sportsman's Guide, Inc. of our report dated March 8, 2004 relating to the financial statements of The Golf Warehouse, L.L.C., which appears in the Current Report on Form 8-K of The Sportsman's Guide, Inc. dated June 29, 2004. PricewaterhouseCoopers LLP Tulsa, Oklahoma September 13, 2004