We study stochastic differential games with $N$ players, where interactions are determined by sequences of graphs in which the number of neighbours of each node remains bounded as $N$ grows, such as chain graphs or lattices. Our main goal is to quantify the phenomenon of the "unimportance of distant players" in such a large population, sparse regime: we show that, in order to determine the optimal trajectory in open-loop strategies of a given player with an arbitrarily small error, it suffices to consider a reduced game involving only the players at a certain distance in the graph, assigning arbitrary trajectories to the farther ones. Our main result provides an explicit non-asymptotic estimate in terms of the graph distance, valid independently of the time horizon $T$, under suitable convexity and monotonicity assumptions on the costs. Similar results are obtained for games in distributed strategies.