Wythoff's game as a classic combinatorial game has been well studied. In this paper, we focus on $(2n+1)$-dimensional Wythoff's game; that is the Wythoff's game with $(2n+1)$ heaps. We characterize their $\mathcal{P}$-positions explicitly and show that they have self-similar structures. In particular, the set of all $\mathcal{P}$-positions of $3$-dimensional Wythoff's game generates the well-known fractal set---the Sierpinski sponge.