He studied at St Mary Hall, Oxford, but took no degree. On his travels, which began in 1610, he first visited France; from north Italy he passed by way of Venice to Constantinople, and thence to Egypt, Mt. Sinai, Palestine, Cyprus, Sicily, Naples and Rome. His narrative, dedicated, like all his other works, to Charles (either as prince or king), was published in 1615, and formed a substantial contribution to geography and ethnology.

He also took great interest in the earliest English colonization in America. In April 1621 he became colonial treasurer of the Virginia Company and sailed to Virginia with his niece's husband, Sir Francis Wyat, the new governor.

When Virginia became a crown colony, Sandys was created a member of council in August 1624; he was reappointed to this post in 1626 and 1628. In 1631 he vainly applied for the secretaryship to the new special commission for the better plantation of Virginia; soon after this he returned to England for good.

In 1621 he had already published an English translation of part of Ovid's Metamorphoses; this he completed in 1626; on this mainly his poetic reputation rested in the 17th and 18th centuries. He also began a version of Virgil's Aeneid, but never produced more than the first book. In 1636 he issued his famous Paraphrase upon the Psalms and Hymns dispersed throughout the Old and New Testaments; and he translated Christ's Passion from the Latin of Grotius; and in 1641 he brought out his last work, a Paraphrase of the Song of Songs. He died, unmarried, at Boxley, near Maidstone, Kent, in 1644.

His verse was deservedly praised by Dryden and Pope; Milton was somewhat indebted to Sandys's Hymn to my Redeemer (inserted in his travels at the place of his visit to the Holy Sepulchre) in his Ode on the Passion.