Sharpe's Prey is a novel in a series that tells the stories of the daring adventures of British Army soldier Richard Sharpe. This novel covers a time soon after Sharpe is promoted to lieutenant. Sharpe is struggling to find his place in his new rank and he is contemplating leaving the army when he is tasked with a covert mission to Copenhagen in the summer of 1807.

The novel opens as two men are fencing at an exclusive London club. One of the men is Captain Willsen, perhaps the finest swordsman in England. After the match Willsen meets Captain John Lavisser who invites him to dinner for the purpose of discussing their upcoming mission to Denmark. Along the way to dinner, Lavisser leads Willsen down a narrow alley where a man in Lavisser's employ kills Willsen.

The first appearance of the main character, Richard Sharpe, shows him in a foul mood and trying to sell his army commission. When he is unable to sell his commission, his anger increases and he seeks an outlet. He returns to the neighborhood in London where he grew up in a workhouse for orphans. Though he plans only to steal money from a man who once exploited all of the children at the workhouse, Sharpe loses control of his rage and kills the man. As Sharpe flees and contemplates a future life of crime he takes momentary refuge in a tavern popular with military officers. There he is offered the chance to go on a covert mission to Denmark. Sharpe readily accepts the offer because it gives him a way to get far away from his crime.

Shortly before departure Sharpe is introduced to Lavisser and informed that he will be the replacement for Willsen. Sharpe has no idea that Lavisser killed Willsen, but soon after their arrival in Denmark, Lavisser's treachery becomes evident. Sharpe escapes Lavisser's first attempt on his life, and knows that he now must somehow arrest Lavisser and return a large amount of gold to the British treasury. Sharpe's first course of action is to make contact with a man working for the British, Ole Skovaard.

While for years Skovaard has been supplying the British with intelligence on the movement of the French military, he is not at all enthusiastic to meet Sharpe. Skovaard is furious, like most Danes, that the British fleet is approaching Denmark for the purpose of invasion, bombardment of Copenhagen, and capture of the Danish fleet. Skovaard refuses Sharpe's initial offer of help and even detains Sharpe and intends to hand him over to Lavisser. Sharpe manages to escape and saves Skovaard from torture by French agents. He then protects Skovaard for several days. During this time he meets Skovaard's daughter and begins a romantic relationship.

Once the British Army forces land in Denmark, Sharpe rejoins them. When Sharpe tells those in command what he has learned on his mission, they send Sharpe back into Copenhagen. He has three tasks. He must protect Skovaard, kill Lavisser, and recapture the British gold.