Continuing our studies on stellar atmospheres (Claret, 2000, Cat. <J/A+A/363/1081>, 2003, Cat. <J/A+A/401/657>), we present in this paper the limb-darkening coefficients for the Sloan photometric system. The calculations cover a wide range of values of logg, T_eff_, metallicities and microturbulent velocities. The atmosphere models used are ATLAS and PHOENIX. In addition to the traditional applications of the limb-darkening coefficients, the present ones will be useful since the Sloan filters are now being used in the interpretation of light curves of extrasolar transiting planets, for example. The present calculations may also be useful, as a complement, for the Kepler mission, dedicated to the search for terrestrial planets.