Dasyurids are small mammals that can conserve energy and water by using shelters that insulate against extreme conditions, prevent predation, and facilitate torpor. To quantify the diurnal sheltering requirements of a poorly known, endangered dasyurid, the sandhill dunnart, Sminthopsis psammophila, we radiotracked 40 individuals in the Western Australian Great Victoria Desert between 2015 and 2019. We assessed the effect of habitat class (broad habitat features), plot-level (the area surrounding each shelter), and shelter characteristics (e.g., daily temperature ranges), on shelter selection and sheltering habitat preferences. Two hundred and eleven diurnal shelters (mean of 5 ± 3 shelters per individual) were located on 363 shelter days (the number of days each shelter was used), within mature vegetation (mean seral age of 32 ± 12 years postfire). Burrows were used on 77% of shelter days and were typically concealed under mature spinifex, Triodia spp., with stable temperature ranges and northern aspects facing the sun. While many burrows were reused (n = 40 across 175 shelter days), spinifex hummock shelters typically were used for one shelter day and were not insulative against extreme temperatures. However, shallow scrapes within Lepidobolus deserti hummock shelters had thermal advantages and log shelters retained heat and were selected on cooler days. Sminthopsis psammophila requires long-unburned sheltering habitat with mature vegetation. Summer fires in the Great Victoria Desert can be extensive and destroy large areas of land, rendering them a key threat to the species. We conclude that the survey and conservation of S. psammophila requires attention to long-unburned, dense lower stratum swale, sand plain, and dune slope habitats, and the tendency of S. psammophila to burrow allows the species to survive within the extreme conditions of its desert environment.