Unfortunately, sphinx are creatures I haven't developed nearly as much as I have Kanai, but here are a few things I know for certain about them (apologies if some is stuff I've said before):
Above all else, all sphinxes are what I'd call "gracefully unattached" in most aspects of their lives and cultures. Their core values reflect this. They do not maintain or defend territories, they keep no allegiances to any groups, be them spiritual, civil, or geographical, and they do not organize formally in any way. In fact, many sphinx find doing so distasteful, or even downright disgusting. This attitude can sometimes carry into their personal relationships, but not usually. Sphinx do develop deep attachments to individuals they consider their friends or family, and they are all generally friendly to other intelligent creatures. They tend to meet the world with deep curiosity and wonder.
Sparrow sphinx, the smallest kind of sphinx, are the least outgoing, though this is largely due to their size, as they can be more easily taken advantage of. They are also the most social amongst their own kind, and tend to congregate in casual flocks for safety. They often roost in abandoned human habitations, or inhabited ones, if the residents are friendly to them. They are likely to fly and never return at the first sign of trouble.
Sand sphinx are the most aggressive, and the most likely to attack humans. Like most sphinx, they still enjoy a good conversation and/or a good book, so they can be negotiated with.
Mountain sphinx, the largest, are the most confident and ambivalent of the sphinx, and the most solitary in nature. They do enjoy a good party, though, and are gentle creatures at heart (as long as you aren't a delicious mountain goat).
All three "races" of sphinx can reproduce with each other and create "hybrids", but this is extremely rare, because male sphinx are almost completely unheard of. Sphinx usually reproduce by parthenogenesis, though the mechanism is not understood, and magic is certainly involved. Individual expression in sphinx is extraordinarily broad and varied, but most sphinx find the confines of gender as humans see it unbearably dull and needlessly restrictive. Many sphinx will bristle when asked what gender they prefer to be refereed to as, or they might find the opportunity to make a gender-conforming human uncomfortable too tempting to let pass. Generally it's safe to assume any given sphinx uses she/her pronouns unless told otherwise. But you'd best switch immediately and express not an ounce of discomfort if corrected.
Almost as core to a sphinx's nature as their ambivalence is their undeniable impulse to just troll the hell out of people. When speaking to a sphinx, it's best to keep a casual air and a sense of humor. If a sphinx detects discomfort or uncertainty, you can be sure they will find some way to pick at it until you find yourself questioning everything you've ever believed about yourself, humanity, or the world at large. Prepare to be gaslit, is what I'm saying. Or prepare to chuckle and shake your head at dad jokes. You never really know.
All sphinx are wanderers, and never stay in one place for long. The world is vast and beautiful, full of unknowns and truths alike. Why stay still when there's so much to see? Though their curiosity may carry them far and wide, they'll always return to their friends.
(a mountain sphinx and sparrow sphinx meet in a rare place their respective ranges happen to overlap)