McElwee initially planned to make a film about the effects of General William Tecumseh Sherman's march through Georgia and the Carolinas (the Georgia portion of which is commonly called the "March to the Sea") during the American Civil War. A traumatic breakup McElwee experienced prior to filming made it difficult for him to separate personal from professional concerns, shifting the focus of the film to create a more personal story about the women in his life, love, romance, and religion. Other themes include the spectre of nuclear holocaust in the context of the Cold War and the legacy and complexity of General Sherman's own life.
Structurally, the film follows a repetitive narrative pattern. McElwee becomes enamored with various women, eventually developing feelings for each of his subjects, only to have his romantic hopes dashed. The film, in McElwee's opinion, follows a personal essay form; a hybrid autobiographical interactive documentary form that exists between fiction and nonfiction.
According to McElwee, "Backyard [his previous film] was a sketch for Sherman's March, an experiment in how I could approach the bigger film"; Backyard is also "cruder" because, according to McElwee, "I was just learning to shoot as a one person crew. I was just getting over that odd sense of camera shyness in reverse. It takes awhile to summon the gumption to shoot people you know well, to be able to face them and talk to them as you're filming. Also, I was using a Nagra 4, a very large tape recorder: it weighs 20 pounds and I carried it slung over my shoulder. For Sherman's March I used a miniature Nagra SN, a very highly developed piece of recording equipment that could fit on my belt. This technological improvement made shooting much easier.
Initially, McElwee thought the film would be a "synthesis of Backyard and Space Coast," but the day after filming the Scottish games, his sister "said—somewhat seriously, somewhat joking—'You should use the camera as a way to meet women.' She's sincerely upset about my having ended my relationship with my girlfriend, and she's looking for ways to get me back on my feet. ...[A]t the point when she gave me her advice about how to use the camera, I experienced a minor epiphany."
McElwee set out with just $9,000, and began conducting mostly impromptu interviews. "Pretty much I always walked in on them", he said, characterizing his methods; "I guess what my conversations have that conventional interviews don't is a serendipitous quality, and emotional charge that has something to do with the personal connection between the subject and the film-maker. I never came with a list of questions." The film ultimately cost $75,000 to complete.
Principal photography lasted about five months, and, according to McElwee, "I'd guess the total amount of footage I actually shot was about 25 hours." The total "filming time" could be considered much more substantial, however: "I was almost always ready to shoot. I kept the camera within reaching distance, sometimes balanced on my shoulder...even between major portraits, when I was on the road, I was totally open to filming whatever might happen in a gas station or in a restaurant, or wherever. So in one sense you can count all that time as 'filming time'."
Vincent Canby, in a "NYT Critics' Pick" review of the documentary, called McElwee a "film maker-anthropologist with a rare appreciation for the eccentric details of our edgy civilization"; the film "which was made in 1981, is a timely memoir of the 80's. It's also a very cheerful recollection of the kind of self-searching, home-movie documentaries that Jim McBride, the director, and L. M. Kit Carson, the writer and actor, satirized so brilliantly in their fiction film, David Holzman's Diary. In an interview with Paula Hunt for MovieMaker Magazine in 1994, discussing the distribution of the film, Ross McElwee stated:
The distributor of First Run Features saw Sherman's March at the IFP (the Independent Feature Project) in New York and immediately said he'd take it. I wanted to shop around a bit, because it's a very small company and I wanted to see what else was available. I got turned down by every other middle range distributor. I didn't even bother to go to the studios or the major distribution outlets. First Run Features was the only company willing to take a chance on it and, in fact, it did terrifically well. According to their statistics, until Strangers in Good Company came along it was their top grossing film. It's supposed to be the tenth highest grossing feature documentary of all time. Isn't that incredible? I could never have imagined it being that kind of a film.
As prelude to a summer 1988 Film Quarterly interview with McElwee, Scott MacDonald wrote:
We get to know McElwee's (or McElwee's filmic persona's) hopes, concerns, nightmares; and we are behind the camera with McElwee as he uses the film-making process to forge new relationships and to revise previously important relationships. As is true in many literary first-person narratives, McElwee's approach in Sherman's March is simultaneously very revealing and somewhat mysterious: the candidness of the scenes is frequently startling, but the more the film — and McElwee-as-narrator — reveals, the more we realize that there are many aspects of the relationships he is recording that we are not privy to. We cannot help but wonder about the narrator as we experience things with him.
According to Paul Attanasio, "[t]he richness of Sherman's March comes from the way McElwee, in his roundabout way, completes the portrait of Sherman he originally set out to achieve"; but "[t]he chief problem is that, at 2½ hours, it's about an hour too long. It's as if the very weakness, the retiring politeness, that has made McElwee such an interesting comic character has also made him a crummy editor of his own film — like the women who mostly reject him, you don't really want to spend your life with him. United by theme rather than story, "Sherman's March" doesn't progress, it only deepens. And at epic length, the film's poor technical quality wears you out."
According to a 1998 review in The Austin Chronicle, "Ross McElwee is a modern master of cinema vérité — rough, real-life documentary filmmaking that seeks to expose a subject's soul through its very lack of polish. In McElwee's case, that subject is almost always himself. Insistently personal, always autobiographical, occasionally exploitative, watching McElwee is like watching someone's (well-financed) home videos."
Sherman's March was awarded the Grand Jury prize in the field of documentary at the 1987 Sundance Film Festival. In 2000, the Library of Congress deemed the film "culturally, historically, or aesthetically significant" and selected it for preservation in the National Film Registry, calling it a "hilarious, one-of-a-kind romantic exploration of the South."
In April 2004, Slant magazine, reviewing the film's newly released DVD, gave it (three stars out of five), saying it "looks and sounds like its [sic] from 1986, but no amount of dirt and noise (and there's some here and there) can diffuse any of the film's magic."