Sphinx is natively from Egypt. It has the head of human, and the body of lion. Rowling states in Fantastic Beasts And Where To Find Them, Sphinx is capable of human speech, and is known for their love of puzzle and riddles. Sphinx only talks in asking puzzle and riddles, and become vicious when wizards make any mistake in answering a question. When the Ministry of Magic begins categorizing magical creatures, Sphinx is placed in the ‘Beast’ category due to their violent tendencies.
In the Harry Potter, the Sphinx is a female. As in Greek mythology, the Sphinx is a female creature allied to the Harpies: the body of a lion with the head of a woman. In the book, the Sphinx is stationed during the Third Task of the Triwizard Tournament guarded the closest route to the Triwizard Cup. The Sphinx that is guarding the Cup also gives a clue to Harry Potter. She asks him a riddle to answer so he can pass her by. Fortunately, he passes it.
Many wizards use Sphinx to keep their valuable properties or hidden places. Gringotts Wizarding Bank, a bank in the Harry Potter story is known to places Sphinxes to guard some of the vaults. Much are to the annoyance of those customers who want to access their valuables but who are not that good at riddles. Sphinx is very smart but turns become dangerous only if the things are in danger.