<PAGE>   1
                                                                    EXHIBIT 24.1


                           THE SPORTSMAN'S GUIDE, INC.

                                POWER OF ATTORNEY


         WHEREAS, The Sportsman's Guide, Inc. (the "Company") intends to file
with the Securities and Exchange Commission its Annual Report on Form 10-K for
the fiscal year ended January 2, 2000.

         NOW, THEREFORE, the undersigned in his capacity as a director of the
Company hereby appoints Gary Olen, Gregory R. Binkley and Charles B. Lingen, or
any one of them, his true and lawful attorneys-in-fact and agents, with full
power of substitution and resubstitution, to execute in his name, place and
stead, the Company's Annual Report on Form 10-K for the fiscal year ended
January 2, 2000 (including any amendment to such report) and any and all other
instruments necessary or incidental in connection therewith, and to file the
same with the Securities and Exchange Commission. Said attorney shall have full
power and authority to do and perform in the name and on behalf of the
undersigned, in the aforesaid capacity, to all intents and purposes as the
undersigned might or could do in person. The undersigned hereby ratifies and
approves the acts of said attorney.

         IN WITNESS WHEREOF, the undersigned has executed this instrument this
14th day of March, 2000.



                                                  /s/ Vincent W. Shiel
                                                 -------------------------------
                                                 Vincent W. Shiel



<PAGE>   2


                           THE SPORTSMAN'S GUIDE, INC.

                                POWER OF ATTORNEY


         WHEREAS, The Sportsman's Guide, Inc. (the "Company") intends to file
with the Securities and Exchange Commission its Annual Report on Form 10-K for
the fiscal year ended January 2, 2000.

         NOW, THEREFORE, the undersigned in his capacity as a director of the
Company hereby appoints Gary Olen, Gregory R. Binkley and Charles B. Lingen, or
any one of them, his true and lawful attorneys-in-fact and agents, with full
power of substitution and resubstitution, to execute in his name, place and
stead, the Company's Annual Report on Form 10-K for the fiscal year ended
January 2, 2000 (including any amendment to such report) and any and all other
instruments necessary or incidental in connection therewith, and to file the
same with the Securities and Exchange Commission. Said attorney shall have full
power and authority to do and perform in the name and on behalf of the
undersigned, in the aforesaid capacity, to all intents and purposes as the
undersigned might or could do in person. The undersigned hereby ratifies and
approves the acts of said attorney.

         IN WITNESS WHEREOF, the undersigned has executed this instrument this
14th day of March, 2000.



                                                 /S/ Mark F. Kroger
                                                 -------------------------------
                                                 Mark F. Kroger





<PAGE>   3


                           THE SPORTSMAN'S GUIDE, INC.

                                POWER OF ATTORNEY


         WHEREAS, The Sportsman's Guide, Inc. (the "Company") intends to file
with the Securities and Exchange Commission its Annual Report on Form 10-K for
the fiscal year ended January 2, 2000.

         NOW, THEREFORE, the undersigned in his capacity as a director of the
Company hereby appoints Gary Olen, Gregory R. Binkley and Charles B. Lingen, or
any one of them, his true and lawful attorneys-in-fact and agents, with full
power of substitution and resubstitution, to execute in his name, place and
stead, the Company's Annual Report on Form 10-K for the fiscal year ended
January 2, 2000 (including any amendment to such report) and any and all other
instruments necessary or incidental in connection therewith, and to file the
same with the Securities and Exchange Commission. Said attorney shall have full
power and authority to do and perform in the name and on behalf of the
undersigned, in the aforesaid capacity, to all intents and purposes as the
undersigned might or could do in person. The undersigned hereby ratifies and
approves the acts of said attorney.

         IN WITNESS WHEREOF, the undersigned has executed this instrument this
14th day of March, 2000.



                                                 /S/ Leonard M. Paletz
                                                 -------------------------------
                                                 Leonard M. Paletz






<PAGE>   4


                           THE SPORTSMAN'S GUIDE, INC.

                                POWER OF ATTORNEY


         WHEREAS, The Sportsman's Guide, Inc. (the "Company") intends to file
with the Securities and Exchange Commission its Annual Report on Form 10-K for
the fiscal year ended January 2, 2000.

         NOW, THEREFORE, the undersigned in his capacity as a director of the
Company hereby appoints Gary Olen, Gregory R. Binkley and Charles B. Lingen, or
any one of them, his true and lawful attorneys-in-fact and agents, with full
power of substitution and resubstitution, to execute in his name, place and
stead, the Company's Annual Report on Form 10-K for the fiscal year ended
January 2, 2000 (including any amendment to such report) and any and all other
instruments necessary or incidental in connection therewith, and to file the
same with the Securities and Exchange Commission. Said attorney shall have full
power and authority to do and perform in the name and on behalf of the
undersigned, in the aforesaid capacity, to all intents and purposes as the
undersigned might or could do in person. The undersigned hereby ratifies and
approves the acts of said attorney.

         IN WITNESS WHEREOF, the undersigned has executed this instrument this
14th day of March, 2000.



                                                 /s/ William T. Sena
                                                --------------------------------
                                                William T. Sena