SCHEDULE 14A
(RULE 14A-101)

INFORMATION REQUIRED IN PROXY STATEMENT
SCHEDULE 14A INFORMATION

PROXY STATEMENT PURSUANT TO SECTION 14(a) OF THE SECURITIES
EXCHANGE ACT OF 1934 (AMENDMENT NO. )

Filed by the registrant [X]

Filed by a party other than the registrant [ ]

Check the appropriate box:

[ ] Preliminary proxy statement. [ ] Confidential, for use of the
Commission only (as permitted by
Rule 14a-6(e)(2).

[X] Definitive proxy statement.

[ ] Definitive additional materials.

[ ] Soliciting material pursuant to Rule 14a-11(c) or Rule 14a-12.

The Sportsman's Guide, Inc.
- --------------------------------------------------------------------------------
(Name of Registrant as Specified in Its Charter)

- --------------------------------------------------------------------------------
(Name of Person(s) Filing Proxy Statement if Other Than the Registrant)

Payment of filing fee (check the appropriate box):

[X] No fee required.

[ ] Fee computed on table below per Exchange Act Rules 14a-6(i)(1) and
0-11.

(1) Title of each class of securities to which transaction applies:

- --------------------------------------------------------------------------------

(2) Aggregate number of securities to which transaction applies:

- --------------------------------------------------------------------------------

(3) Per unit price or other underlying value of transaction computed
pursuant to Exchange Act Rule 0-11 (set forth the amount on which the
filing fee is calculated and state how it was determined):

- --------------------------------------------------------------------------------

(4) Proposed maximum aggregate value of transaction:

- --------------------------------------------------------------------------------

(5) Total fee paid:

- --------------------------------------------------------------------------------

[ ] Fee paid previously with preliminary materials.
- --------------------------------------------------------------------------------

[ ] Check box if any part of the fee is offset as provided by Exchange Act
Rule 0-11(a)(2) and identify the filing for which the offsetting fee
was paid previously. Identify the previous filing by registration
statement number, or the form or schedule and the date of its filing.

(1) Amount Previously Paid:

- --------------------------------------------------------------------------------

(2) Form, Schedule or Registration Statement No.:

- --------------------------------------------------------------------------------

(3) Filing Party:

- --------------------------------------------------------------------------------

(4) Date Filed:

- --------------------------------------------------------------------------------

[THE SPORTSMANS GUIDE LOGO]

NOTICE OF ANNUAL MEETING OF SHAREHOLDERS
TO BE HELD ON APRIL 25, 2002

To Our Shareholders:

The Annual Meeting of Shareholders of The Sportsman's Guide, Inc., a
Minnesota corporation (the "Company"), will be held at the Company's executive
offices located at 411 Farwell Avenue, South St. Paul, Minnesota on Thursday,
April 25, 2002, at 2:00 p.m., Minnesota time, for the following purposes:

1. Election of eight directors to serve until the next Annual Meeting and
until their respective successors have been elected and qualified;

2. Ratification of the engagement of Grant Thornton LLP as independent
certified public accountants for the Company for 2002; and

3. Transaction of such other business as may properly come before the
meeting or any adjournment thereof.

Only holders of record of the Company's Common Stock at the close of
business on March 1, 2002 will be entitled to notice of and to vote at the
meeting or any adjournment thereof.

All shareholders are cordially invited to attend the Annual Meeting in
person.

By Order Of The Board Of Directors

/s/ CHARLES B. LINGEN
Charles B. Lingen, Secretary

South St. Paul, Minnesota
March 15, 2002

WHETHER OR NOT YOU PLAN TO ATTEND THE MEETING, PLEASE MARK, DATE, SIGN AND
PROMPTLY RETURN THE ENCLOSED PROXY IN THE ENVELOPE PROVIDED.

THE SPORTSMAN'S GUIDE, INC.
411 FARWELL AVENUE
SOUTH ST. PAUL, MINNESOTA 55075
-------------------------

PROXY STATEMENT
MAILING DATE
MARCH 15, 2002
-------------------------

GENERAL INFORMATION

This Proxy Statement is furnished in connection with the solicitation of
proxies by the Board of Directors of The Sportsman's Guide, Inc., a Minnesota
corporation (the "Company"), for use for the purposes set forth herein at its
Annual Meeting of Shareholders to be held on April 25, 2002 and any adjournments
thereof. All properly executed proxies will be voted as directed by the
shareholder on the proxy card. If no direction is given, proxies will be voted
in accordance with the Board of Directors' recommendations and, in the
discretion of the proxy holders, in the transaction of such other business as
may properly come before the Annual Meeting and any adjournments thereof. Any
proxy may be revoked by a shareholder by delivering written notice of revocation
to the Company or in person at the Annual Meeting at any time prior to the
voting thereof.

VOTING SECURITIES AND RECORD DATE

The Company has one class of voting securities outstanding, namely Common
Stock, par value $.01 per share. Only holders of record of the Company's Common
Stock at the close of business on March 1, 2002 are entitled to notice of and to
vote at the Annual Meeting. As of March 1, 2002, there were 4,748,810 shares of
Common Stock outstanding, and each share is entitled to one vote on all matters
to be voted upon at the Annual Meeting. Under the Company's Restated Articles of
Incorporation and Bylaws, each shareholder has the right to vote cumulatively
for the election of directors by giving written notice of his intent to cumulate
his votes to any officer of the Company before the Annual Meeting or to the
presiding officer of the Company at the Annual Meeting at any time before the
election of directors. Under cumulative voting, each shareholder has the right
to cast that number of votes per share equal to the number of directors to be
elected and may cast all of the shareholder's votes for a single candidate or
distribute those votes among any number of candidates. In the event that
directors are elected by cumulative voting and cumulated votes represented by
proxies solicited hereby are insufficient to elect all the nominees, then the
proxy holders will vote such proxies cumulatively for the election of as many of
such nominees as possible and in such order as the proxy holders may determine.

The presence in person or by proxy of holders of 40% of the shares of the
Company's Common Stock entitled to vote at the Annual Meeting will constitute a
quorum for the transaction of business.

Directors are elected by a plurality of the votes cast by the holders of
Common Stock at a meeting at which a quorum is present. Abstentions and broker
non-votes will not be counted toward a nominee's achievement of a plurality and
thus will have no effect. A broker non-vote occurs when a broker submits a proxy
that indicates the broker does not have discretionary authority to vote the
shares on a particular matter.

MATTERS TO BE ACTED UPON AT THE ANNUAL MEETING

1. ELECTION OF DIRECTORS

Eight directors are to be elected at the Annual Meeting to hold office
until the next Annual Meeting of Shareholders and until their successors have
been elected and qualified. Unless otherwise directed, it is the intention of
the persons named in the accompanying proxy to vote each proxy for the election
of the nominees listed below. Each nominee is presently a director of the
Company. If at the time of the Annual Meeting any nominee is unable or declines
to serve, the proxy holders will vote for the election of such substitute
nominee

as the Board of Directors may recommend. The Company and the Board of Directors
have no reason to believe that any substitute nominee will be required.

Set forth below is certain information with respect to each nominee for
director.

GARY OLEN, 59, is a co-founder of the Company. Mr. Olen served as Executive
Vice President and Secretary from its incorporation in 1977 until 1994,
President from 1994 to 1998 and Chief Executive Officer from 1994 until his
retirement in 2000. Mr. Olen has been Chairman of the Board since 1998 and a
director since its incorporation. Mr. Olen was also the sole proprietor of the
predecessor of the Company, The Olen Company, founded in 1970.

GREGORY R. BINKLEY, 53, has been a director since 1995. Mr. Binkley has
been an employee since 1994 when he was elected Vice President. Mr. Binkley
became Senior Vice President of Operations and Chief Operating Officer in 1995,
Executive Vice President in 1996, President in 1998 and Chief Executive Officer
in 2000. From 1993 to 1994, Mr. Binkley worked as an independent operations
consultant. From 1990 to 1993, Mr. Binkley was Director of Distribution of
Fingerhut Companies, Inc., a mail order catalog business and from 1988 to 1990
was Director of Distribution with Cable Value Network, Inc., a cable television
retailer. Mr. Binkley worked for Donaldsons Department Stores, a division of
Allied Stores Corporation, from 1975 to 1988, serving as Vice President of
Finance and Operations from 1987 to 1988 and Vice President of Operations from
1981 to 1987.

CHARLES B. LINGEN, 57, has been a director since 1995. Mr. Lingen has been
Chief Financial Officer, Vice President of Finance and Treasurer since 1994. Mr.
Lingen was elected Secretary in 1995, Senior Vice President of Finance in 1996
and Executive Vice President of Finance and Administration in 2000. From 1973 to
1994, Mr. Lingen worked at Fingerhut Companies, Inc., serving as Vice President
of Finance and Controller from 1989 to 1994.

VINCENT W. SHIEL, Ph.D, 68, has been a director since 1990 and served as
Chairman of the Board from 1994 to 1998. Dr. Shiel is a principal shareholder
and has served as President and a director of Outdoor Consulting, Inc., a
management consulting firm, since 1988. From 1984 to 1988, Dr. Shiel served on
the board of directors and owned a controlling interest in Gander Mountain, Inc.

MARK F. KROGER, 48, has been a director since 1990. He is Treasurer and a
director of Rae Melton Therapeutic Equestrian Center, a nonprofit organization.

LEONARD M. PALETZ, 67, is a co-founder and served as Chairman of the Board,
President, Chief Executive Officer, Treasurer and a director from 1977 until
1994. Mr. Paletz retired as an employee in 1994.

WILLIAM T. SENA, 65, has been a director since 1990. He is an investment
advisor with Sena Weller Rohs Williams, Inc., an investment advisory firm. Mr.
Sena has been associated with the investment advisory firm and its predecessor
since 1965.

TODD D. PETERSON, 40, has been a director since 2001. He is the Managing
Director of Spring House Capital, L.L.C., a private investment firm. Mr.
Peterson was the President of Chippewa Springs Ltd., a producer and seller of
bottled water, from 1992 to 1997 and a Vice President in Corporate Finance at
U.S. Bancorp Piper Jaffray from 1987 to 1992. Mr. Peterson started his career at
Control Data Corporation.

MEETINGS OF THE BOARD AND COMMITTEES

During 2001, the Board of Directors held three meetings. Each director
attended over 75% of the Board meetings and meetings of Board committees on
which he served held during 2001, except Mr. Olen and Mr. Kroger.

The Board of Directors has three standing committees: the Audit Committee,
the Compensation Committee and the Executive Committee. The Board has no
nominating committee.

The Audit Committee consists of Mark F. Kroger, Leonard M. Paletz and
William T. Sena and has the responsibility to meet with Company personnel and
representatives of the Company's independent auditors to review internal
auditing procedures and matters related to the Company's annual external audit.
The Audit
3

Committee recommends to the Board of Directors the appointment of independent
public accountants. See "Audit Committee Report." The Audit Committee met once
during 2001.

The Compensation Committee consists of Vincent W. Shiel, Leonard M. Paletz
and William T. Sena. The Compensation Committee has the responsibility to review
and determine the salaries, bonuses, stock options and other compensation of the
officers of the Company. See "Compensation Committee Report on Executive
Compensation." The Compensation Committee met twice during 2001.

The Executive Committee consists of Gregory R. Binkley, Vincent W. Shiel
and William T. Sena. The Executive Committee is empowered to exercise all of the
powers and authority of the Board of Directors between meetings of the Board.
The Executive Committee took no formal action during 2001.

DIRECTOR COMPENSATION

Directors who are not employees of the Company and Mr. Olen receive $5,000
annually for services as a director plus expenses incurred in attending board
meetings.

CONSULTING AGREEMENTS

The Company has a consulting agreement with Outdoor Consulting, Inc. to
provide consulting services to the Company. Vincent W. Shiel is the sole
shareholder and employee of Outdoor Consulting, Inc. The initial term of the
agreement expired on December 31, 1990 and continues on a year-to-year basis
until terminated by either party. The compensation payable under the agreement
is $5,000 per month.

The Company has a consulting agreement with William T. Sena to provide
certain investor relation and investment advisory services as requested for a
minimum of 15 hours per quarter. The initial term of the agreement expired on
December 31, 1998 and continues on a quarter-to-quarter basis until terminated
by either party. Mr. Sena is paid $3,000 per quarter for services under the
agreement.

AUDIT COMMITTEE REPORT

The Audit Committee of the Board of Directors assists the Board in
fulfilling its oversight responsibilities by reviewing the audit process, the
financial information that will be provided to shareholders and others and the
systems of internal controls which management has established. The Audit
Committee is comprised of three outside directors, each of whom is independent
of management of the Company. All members of the Audit Committee are financially
literate and at least one member has accounting or related financial management
expertise. The Audit Committee operates under a written charter, a copy of which
was attached to the Proxy Statement for the 2001 Annual Meeting as Appendix A.

Following the end of the 2001 fiscal year, the Audit Committee analyzed and
discussed the audited financial statements with management. The Audit Committee
also discusses with Grant Thornton LLP, the independent auditors of the Company,
the matters required to be discussed by Statement on Auditing Standards No. 61
(Communication with Audit Committees) and Statement on Auditing Standards No.
90. The Audit Committee also received the written disclosures and a letter from
Grant Thornton LLP as required by Independence Standards Board Standard No. 1
(Independence Discussions with Audit Committees).

Based upon the analysis and discussions referred to above, the Audit
Committee recommended to the Board of Directors that the audited consolidated
financial statements be included in the Company's Annual Report on Form 10-K for
the year ended December 31, 2001.

Leonard M. Paletz, Chairman
Mark F. Kroger
William T. Sena

2. RATIFICATION OF ENGAGEMENT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS

The Company intends to request that the shareholders ratify the selection
of Grant Thornton LLP, independent certified public accountants, for 2002. The
Company has requested and expects a representative of Grant Thornton LLP to be
present at the Annual Meeting. Such representative will have the opportunity to
make a statement if he or she so desires and will be available to respond to
appropriate questions.

The following table sets forth the aggregate fees billed to the Company for
the year ended December 31, 2001 by Grant Thornton LLP:

<Table>

Audit fees................................................. $65,331
Financial information systems design and implementation
fees..................................................... --
All other fees............................................. 22,404
-------
Total............................................... $87,735
=======
</Table>

The amounts shown above include out-of-pocket expenses incurred by Grant
Thornton LLP in connection with providing such services. The amount shown for
"Audit fees" includes fees relating to the annual audit of the financial
statements and quarterly reviews of unaudited financial statements included in
the Form 10-Qs. The amount shown for "All other fees" includes fees relating to
preparation of tax returns and tax related services and audit of the financial
statements of an employee benefit plan. The Audit Committee of the Board of
Directors has determined that the services included under the caption "All other
fees," as provided by Grant Thornton LLP, are compatible with maintaining Grant
Thornton LLP's independence.

3. OTHER BUSINESS

The Board of Directors does not know of any matters to be presented at the
Annual Meeting other than those mentioned above. However, if other matters
should properly come before the Annual Meeting or any adjournments thereof, the
proxy holders will vote the proxies thereon in their discretion.

EXECUTIVE COMPENSATION

The following table sets forth the cash compensation paid to the Chief
Executive Officer and to each of the other four most highly compensated
executive officers of the Company (the "Named Executive Officers") for services
rendered in all capacities for each of the years indicated.

SUMMARY COMPENSATION TABLE

<Table>
<Caption>
LONG-TERM
ANNUAL COMPENSATION COMPENSATION ALL OTHER
--------------------- ------------ COMPENSATION(1)
SALARY BONUS OPTIONS ---------------
NAME AND PRINCIPAL POSITION YEAR ($) ($) (#) ($)
--------------------------- ---- ------ ----- ------- ---

Gary Olen.......................... 2001 262,500 -- -- 5,000
Chairman 2000 262,500 -- -- 69,911
1999 260,577 -- 40,000 --

Gregory R. Binkley................. 2001 204,346 150,000 50,000 2,550
President and 2000 189,375 -- -- --
Chief Executive Officer 1999 182,404 -- 10,000 --

Charles B. Lingen.................. 2001 153,477 103,000 35,000 --
Executive Vice President of
Finance 2000 141,089 -- -- --
and Administration, 1999 130,288 -- 7,500 --
Chief Financial Officer and
Secretary/Treasurer

John M. Casler..................... 2001 153,477 103,000 35,000 2,463
Executive Vice President 2000 140,613 -- -- --
of Merchandising, Marketing 1999 130,154 -- 7,500 --
and Creative Services

</Table>

- -------------------------
(1) Amounts in the All Other Compensation column for Mr. Olen reflect directors
fees and for 2000 includes $66,911 of accrued vacation paid in connection
with his retirement as CEO. Amounts shown for the other Named Executive
Officers reflect employer matching contributions under the Company's 401(k)
plan.

The following table sets forth information with respect to the Named
Executive Officers concerning the grant of options during 2001.

OPTION GRANTS IN LAST FISCAL YEAR

<Table>
<Caption>
POTENTIAL REALIZABLE
INDIVIDUAL GRANTS VALUE AT ASSUMED
------------------------------------------------------- ANNUAL RATES OF
NUMBER OF % OF TOTAL STOCK PRICE
SECURITIES OPTIONS EXERCISE APPRECIATION FOR
UNDERLYING GRANTED TO OR BASE OPTION TERM(1)
OPTIONS EMPLOYEES IN PRICE EXPIRATION ---------------------
NAME GRANTED(#)(2) FISCAL YEAR ($/SH) DATE 5%($) 10%($)
---- ------------- ------------ -------- ---------- ----- ------

Gary Olen...................... -- -- -- -- -- --
Gregory R. Binkley............. 50,000 20.0 2.95 12/17/11 92,762 235,077
Charles B. Lingen.............. 35,000 14.0 2.95 12/17/11 64,933 164,554
John M. Casler................. 35,000 14.0 2.95 12/17/11 64,933 164,554
</Table>

- -------------------------
(1) The compounding assumes a ten-year exercise period for all option grants.
The 5% and 10% assumed annual rates of compounded stock price appreciation
are mandated by rules of the Securities and Exchange Commission and do not
represent the Company's estimate or projection of the Company's future
Common Stock prices. These amounts represent certain assumed rates of
appreciation only. Actual gains, if any, on stock option exercises are
dependent on the future performance of the Common

Stock and overall stock market conditions. The amounts reflected in this
table may not necessarily be achieved.

(2) Incentive stock options granted pursuant to the Company's 1999 Stock Option
Plan. These options become exercisable in three cumulative installments of
33 1/3% on the first three anniversary dates of grant. The grant date was
December 17, 2001.

The following table sets forth information with respect to the Named
Executive Officers concerning options held at year end 2001.

AGGREGATED OPTION EXERCISES IN LAST FISCAL YEAR
AND FY-END OPTION VALUES

<Table>
<Caption>
NUMBER OF UNEXERCISED VALUE OF UNEXERCISED
SHARES OPTIONS AT FISCAL YEAR-END IN-THE-MONEY OPTIONS AT
ACQUIRED VALUE (#) FISCAL YEAR-END($)(1)
ON EXERCISE REALIZED ---------------------------- ----------------------------
NAME (#) ($) EXERCISABLE UNEXERCISABLE EXERCISABLE UNEXERCISABLE
---- ----------- -------- ----------- ------------- ----------- -------------

Gary Olen.................... -- -- 204,615 10,000 34,276 --
Gregory R. Binkley........... -- -- 129,763 52,500 18,665 21,500
Charles B. Lingen............ -- -- 81,590 36,875 15,550 15,050
John M. Casler............... -- -- 62,625 36,875 4,840 15,050
</Table>

- -------------------------
(1) Unexercised options were in-the-money if the fair market value of the
underlying shares exceeded the exercise price of the option at December 31,
2001.

EMPLOYMENT AGREEMENTS

The Company has entered into employment agreements with Gregory R. Binkley,
Charles B. Lingen and John M. Casler. Each agreement is automatically renewed
each December 31 for additional one year terms unless either party gives two
months' notice of nonrenewal, and terminates upon the employee's death,
disability or retirement at age 65. Upon termination of the agreement by reason
of death or disability, each of the employees or his estate is entitled to a
payment equal to 12 months of his monthly base salary, plus a pro rata portion
of the bonus that would otherwise have been payable to the employee under the
Company's bonus plan then in effect. Upon termination of the agreement (i) by
the employee for good reason (as defined in the agreement) or (ii) by the
Company without good cause or upon the Company's failure to renew the agreement,
the employee is entitled to a payment equal to 24 months of his monthly base
salary, plus a pro rata portion of the bonus that would otherwise have been
payable to the employee under the Company's bonus plan then in effect. Each
agreement also provides that if the employee is terminated, or resigns for good
reason or if the Company fails to renew the agreement within two years following
a substantial event (defined as a sale of substantially all of the Company's
assets, a merger or other reorganization resulting in the incumbent directors
constituting less than a majority of the board, or a tender offer for 50% or
more of the Company's outstanding voting stock), such employee is entitled to a
payment equal to three times his annual base salary, plus a pro rata portion of
the bonus otherwise payable to the employee.

The Company has also entered into an employment agreement with Gary Olen
pursuant to which he serves as Chairman. The agreement continues until June 30,
2002. Upon termination of the agreement for any reason, Mr. Olen is entitled to
his remaining base salary and benefits through the end of the term.

COMPENSATION COMMITTEE INTERLOCKS AND INSIDER PARTICIPATION

The Compensation Committee of the Board of Directors is comprised of
Vincent W. Shiel, Leonard M. Paletz and William T. Sena. Mr. Paletz is a former
Chief Executive Officer of the Company.

Outdoor Consulting, Inc., a corporation owned by Dr. Shiel, provides
certain consulting services to the Company. Mr. Sena also provides certain
consulting services to the Company. See "Election of Directors -- Consulting
Agreements."

COMPENSATION COMMITTEE REPORT ON EXECUTIVE COMPENSATION

The Compensation Committee of the Board of Directors establishes policies
relating to compensation of executive officers of the Company. The Committee is
also responsible for the review and determination of salaries, bonuses and stock
options for executive officers.

Executive Compensation Policies

The Company's compensation policy seeks to provide an appropriate
relationship between executive pay and the creation of shareholder value, while
motivating and retaining key employees. To achieve this goal, the Company's
executive compensation policies integrate annual base compensation with bonuses
based upon corporate performance and stock options. Measurement of corporate
performance is primarily based on the pre-tax earnings of the Company.
Performance goals are revised annually to create an incentive for senior
management to increase sales, profit margin and earnings. The Committee feels
that stock options are an effective incentive for executives to create value for
shareholders since their value bears a direct relationship to the Company's
stock price. Annual cash compensation, together with equity-based compensation,
is designed to attract and retain qualified executives and to ensure that
executives have a continuing stake in the long-term success of the Company.

Base Salary. Base salaries for executive officers, as well as changes in
base salaries, are determined by the Committee based upon recommendations by the
Chief Executive Officer, comparable salaries for companies of similar size and
profitability, and an evaluation of subjective factors such as the individual's
position, contribution, experience and length of service.

Annual Bonus. The Company's annual bonus program provides for the payment
of cash bonuses based upon the achievement of pre-determined corporate
performance goals. For 2001, the Committee established specific levels of
Company pre-tax earnings as the performance measure for determining cash
bonuses. Bonus pool could range from $50,000 at pre-tax earnings of $1.0 million
increasing to $325,000 plus 25% of pre-tax earnings over $3.0 million. Cash
bonuses totaling $685,000 were earned for 2001.

Stock Options. Stock option awards to executive officers consist of annual
grants and in some years possible additional grants based on corporate
performance. The total number of annual stock option grants is determined by the
Committee taking into consideration the incentive potential of the award as well
as aggregate employee stock option ownership and overall corporate performance.
Individual awards are based upon recommendations by the Chief Executive Officer.
No stock option awards were made for 2001 due to the Company's low stock price.
In late 2001, the Committee approved a stock option program for 2002 consisting
of the grant of options for 250,000 shares of Common Stock to 17 employees,
including three executive officers.

CEO Compensation

Gregory R. Binkley, the Company's Chief Executive Officer, was paid a base
salary of $200,000 for 2001, increased mid-year to $210,000. Mr. Binkley earned
a cash bonus of $150,000 under the 2001 bonus program based on his position and
contribution to the Company's improved financial performance. Mr. Binkley was
also granted a 50,000 share option under the stock option program for 2002.

Internal Revenue Code Section 162(m)

Section 162(m) of the Internal Revenue Code of 1986 limits the
deductibility of certain compensation in excess of $1 million per year paid by a
publicly traded corporation to the chief executive officer and the other named
executive officers in the company's proxy statement. Compensation which is
performance-based is exempt from the $1 million deductibility limitation. The
Committee has reviewed the application of Section 162(m) to its executive
compensation policies and does not believe that such policies are affected by
the Section 162(m) limitation at this time.

Vincent W. Shiel
Leonard M. Paletz
William T. Sena

PERFORMANCE GRAPH

The following graph shows a five-year comparison of the cumulative total
returns for the Company's Common Stock (*), the CRSP (**) Index for NASDAQ Stock
Market and the CRSP Index for NASDAQ Retail Trade Stocks. The graph assumes $100
invested on December 31, 1996 in the Company's Common Stock and each index with
all dividends reinvested.

COMPARISON OF FIVE YEAR-CUMULATIVE TOTAL RETURNS
AMONG THE SPORTSMAN'S GUIDE, INC., NASDAQ STOCKS AND NASDAQ RETAIL TRADE STOCKS

[PERFORMANCE GRAPH]

<Table>
<Caption>
SPORTSMAN'S GUIDE NASDAQ STOCKS NASDAQ RETAIL TRADE
----------------- ------------- -------------------

Dec-96 100.00 100.00 100.00
Mar-97 179.69 96.76 97.01
Jun-97 237.50 111.90 107.43
Sep-97 309.38 130.82 121.78
Dec-97 315.63 122.48 117.44
Mar-98 312.50 141.89 139.44
Jun-98 346.88 147.28 143.47
Sep-98 193.75 132.89 103.80
Dec-98 271.88 172.68 142.92
Mar-99 309.38 195.23 141.18
Jun-99 278.13 211.79 137.73
Sep-99 240.63 217.07 123.56
Dec-99 157.81 320.83 125.28
Mar-00 178.91 351.03 111.73
Jun-00 154.69 313.18 89.80
Sep-00 81.25 288.19 91.64
Dec-00 46.09 192.98 76.86
Mar-01 50.00 144.05 79.74
Jun-01 70.47 169.78 94.12
Sep-01 111.50 117.79 79.71
Dec-01 138.25 156.10 107.48
</Table>

Assumes $100 invested on December 31, 1996 in The Sportsman's Guide, Inc.
common stock, the NASDAQ stock index and the NASDAQ Retail Trade stock index,
with all dividends reinvested. The indices for NASDAQ stocks and NASDAQ Retail
Trade stocks were prepared by the Center for Research in Security Prices,
University of Chicago GSB.
- -------------------------
* The Company's Common Stock traded on the NASDAQ National Market under the
symbol "SGDE" from February 5, 1998 through February 26, 2001. The Company's
common stock was transferred to the NASDAQ SmallCap Market on February 27,
2001.

** Center for Research in Security Prices, Graduate School of Business,
University of Chicago, Chicago, Illinois.

SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

The following table sets forth certain information with respect to the
beneficial ownership of the Company's Common Stock as of March 1, 2002 (the
record date for the Annual Meeting) by each director and nominee for director of
the Company, each Named Executive Officer and all directors and executive
officers as a group, and those persons or groups known by the Company to own
more than 5% of the Common Stock.

<Table>
<Caption>
COMMON STOCK
BENEFICIALLY OWNED
------------------------
NAME NUMBER PERCENT(1)
---- ------ ----------

Directors and Executive Officers(2):
Vincent W. Shiel(3)......................................... 522,000 11.0%
Gary Olen(4)................................................ 304,798 6.1%
Gregory R. Binkley(5)....................................... 152,263 3.1%
Charles B. Lingen(6)........................................ 83,465 1.7%
John M. Casler(7)........................................... 64,500 1.3%
Mark F. Kroger.............................................. 30,882 *
Leonard M. Paletz........................................... 189,816 4.0%
William T. Sena............................................. -- --
Todd D. Peterson............................................ 30,000 *
All directors and executive officers as a group (9
persons)(8)............................................... 1,377,724 26.3%
Other Shareholders Owning More Than 5% of Common Stock:
Thomas A. Smith, as trustee of various trusts for the
benefit of Dr. and Mrs. Shiel and their children and
grandchildren(9).......................................... 396,037 8.3%
Dimensional Fund Advisors Inc.(10).......................... 341,600 7.2%
1299 Ocean Avenue
11th Floor
Santa Monica, CA 90401
E Com Ventures, Inc. and Ilia Lekach(11).................... 298,900 6.3%
11701 N.W. 101 Road
Miami, FL 33178
Harvey Houtkin(12).......................................... 178,696 5.6%
160 Summit Avenue
Montvale, NJ 07645
</Table>

- -------------------------
* Less than 1%

(1) Percentages are calculated on the basis of the number of shares outstanding
on March 1, 2002 plus the number of shares issuable pursuant to options
held by the individual which are exercisable within 60 days after March 1,
2002.

(2) The address of each director and executive officer is 411 Farwell Avenue,
South St. Paul, Minnesota 55075.

(3) Includes 522,000 shares held by VWS Limited Partnership No. Two, LLLP, the
general partner of which is a limited liability company of which Dr. Shiel
is the managing member and president. Does not include 539,244 shares held
by Dr. and Mrs. Shiel's children or in trusts for the benefit of Dr. and
Mrs. Shiel and their children and grandchildren of which Dr. Shiel
expressly disclaims beneficial ownership.

(4) Includes 214,615 shares issuable upon the exercise of options. Does not
include 48,000 shares held in trusts for the benefit of Mr. Olen's children
and grandchildren of which Mr. Olen expressly disclaims beneficial
ownership.

(5) Includes 2,000 shares held in the name of Mr. Binkley's wife and 132,263
shares issuable upon the exercise of options.

(6) Includes 83,465 shares issuable upon the exercise of options.

(7) Includes 64,500 shares issuable upon the exercise of options.

(8) Includes 494,843 shares issuable upon the exercise of options.

(9) Includes 396,037 shares held as trustee of various trusts for the benefit
of Dr. and Mrs. Shiel and their children and grandchildren, of which Mr.
Smith has no pecuniary interest. Mr. Smith's address is 96 N.E. 4th Ave.,
Delray Beach, Florida 33444.

(10) Based on a Schedule 13G filing dated January 30, 2002. Dimensional Fund
Advisors Inc., a registered investment advisor, furnishes investment advice
to four registered investment companies and serves as investment manager to
certain other commingled group trusts and separate accounts. In its role as
investment advisor or manager, Dimensional Fund Advisors Inc. has sole
power to vote and dispose of 341,600 shares owned by these funds. To the
knowledge of Dimensional Fund Advisors Inc., no one advisory client owns
more than 5% of the class. Dimensional Fund Advisors Inc. disclaims
beneficial ownership of the 341,600 shares.

(11) Based on a Schedule 13D filing dated April 10, 2000. Ilia Lekach, the Chief
Executive Officer of E Com Ventures, Inc., has sole power to vote and
dispose of 40,000 shares and shared power to vote and dispose of 258,900
shares owned by E Com Ventures, Inc.

(12) Based on a Schedule 13G filing dated February 7, 2002. Does not include
88,340 shares owned by Mr. Houtkin's wife Sherry Houtkin, 2,700 shares
owned by his adult son Stuart Houtkin and 11,900 shares owned by his adult
son Michael Houtkin, as to which Mr. Houtkin disclaims beneficial
ownership. Mr. Houtkin has sole power to vote and dispose of 88,196 shares
and shared power to vote and dispose of 90,500 shares. Mr. Houtkin has
included the 88,340 shares owned by his wife in reporting his percentage
ownership.

SECTION 16(A) BENEFICIAL OWNERSHIP REPORTING COMPLIANCE

Section 16(a) of the Securities Exchange Act of 1934 requires the Company's
directors, executive officers and ten percent beneficial owners of Common Stock
to file reports of ownership and changes of ownership of the Company's Common
Stock with the Securities and Exchange Commission. The Company believes that
during 2001 all Section 16 filing requirements applicable to its directors,
executive officers and ten percent beneficial owners were met.

CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

In February 1998, the Company loaned Gary Olen $238,700 to pay the exercise
price of an option to purchase 55,000 shares of Common Stock held by Mr. Olen
(which became exercisable upon completion of the Company's public offering and
would have expired six months later) and to pay the income taxes payable by him
upon exercise of the option. The loan, approved by the Board of Directors, is
for a term of five years, bears interest at the mid-term applicable federal rate
as of the date of the loan (5.69%) and is collateralized by a pledge of the
shares acquired upon exercise. In February 2001, the Board of Directors deferred
for two years payment of the first installment due on the loan. At December 31,
2001, the outstanding loan balance was $291,000, including accrued interest.

SHAREHOLDER PROPOSALS

Proposals by shareholders intended to be presented at the 2003 Annual
Meeting must be received by the Secretary of the Company on or before November
15, 2003 to be considered for inclusion in the proxy statement for that meeting.
Proposals should be directed to the Company's executive offices at 411 Farwell
Avenue, South St. Paul, Minnesota 55075, Attention: Mr. Charles B. Lingen,
Secretary/Treasurer. Shareholder proposals intended to be submitted at the 2003
Annual Meeting outside the processes of Rule 14a-8 will be considered untimely
under Rule 14a-4(c)(1) if not received by the Company at its executive offices
on or before January 29, 2003.

ADDITIONAL INFORMATION

The Company's Annual Report to Shareholders for the year ended December 31,
2001 accompanies this Notice of Annual Meeting of Shareholders and Proxy
Statement.

SOLICITATION OF PROXIES

The Company will bear the entire expense of this proxy solicitation.
Arrangements will be made with brokers and other custodians, nominees and
fiduciaries to send proxy solicitation materials to their principals and the
Company will, upon request, reimburse them for their reasonable expenses in so
doing. Officers and other regular employees of the Company may solicit proxies
by mail, in person or by telephone.

THE SPORTSMAN'S GUIDE, INC.

/s/ CHARLES B. LINGEN
Charles B. Lingen, Secretary

PROXY THE SPORTSMAN'S GUIDE, INC.
ANNUAL MEETING OF SHAREHOLDERS
APRIL 25, 2002

The undersigned hereby appoints Gregory R. Binkley and Charles B.
Lingen and each of them, as proxies, with full power of substitution,
to vote all shares of Common Stock of The Sportsman's Guide, Inc.
(the "Company") which the undersigned is entitled to vote at the
Annual Meeting of Shareholders of the Company to be held on Thursday,
April 25, 2002 at 2:00 p.m. and any adjournments thereof as follows:

THE BOARD OF DIRECTORS RECOMMENDS A VOTE FOR ITEMS 1 AND 2.

<Table>

1. ELECTION OF DIRECTORS FOR all nominees listed below WITHHOLD AUTHORITY
(except as marked to the to vote for all nominees listed
contrary below). [ ] below. [ ]
</Table>

INSTRUCTION: To withhold authority to vote for any individual nominee
strike a line through the nominee's name below.

Gary Olen, Gregory R. Binkley, Charles B. Lingen, Vincent W. Shiel,
Mark F. Kroger, Leonard M. Paletz, William T. Sena, Todd D. Peterson

2. Ratification of the engagement of Grant Thornton LLP as
independent certified public accountants for the Company for 2002.

[ ] FOR [ ] AGAINST [ ] ABSTAIN

3. In their discretion to vote upon such other business as may
properly come before the meeting.

(Continued on reverse side)

(continued from other side)

IF NO DIRECTION IS MADE, THIS PROXY WILL BE VOTED FOR THE ELECTION
OF THE DIRECTOR NOMINEES NAMED HEREIN AND FOR THE RATIFICATION OF THE
ENGAGEMENT OF GRANT THORNTON LLP.

Please sign and date this Proxy below and return in the enclosed
envelope.

Dated: , 2002

----------------------------
(Signature)

Please date and sign your
name as it appears hereon.
When signing as an attorney,
executor, administrator,
guardian or in some other
representative capacity,
please give full title. All
joint owners must sign.

THIS PROXY IS SOLICITED ON BEHALF OF THE BOARD OF DIRECTORS