Wasserstein distances are widely used in modern data analysis but pose significant computational and statistical challenges in high dimensions. The sliced Wasserstein distance alleviates these challenges by leveraging one-dimensional projections. Building on the Efron-Stein inequality-a technique proven effective in related problems-and a non-trivial control of the optimal transport potentials across directions, we establish a central limit theorem for the p-sliced Wasserstein distance, for p>1, centered at the expected empirical cost. Unlike for the general Wasserstein distance, the centering can be replaced by the population cost, enabling valid statistical inference. This generalizes and refines existing one-dimensional results, providing the first asymptotically valid inference framework for the sliced Wasserstein distance between possibly non-compact measures. Finally, we address other practical aspects crucial for inference, including Monte Carlo approximation of the slicing integral and consistent variance estimation.