diff --git a/doc/source/whatsnew/v0.24.0.txt b/doc/source/whatsnew/v0.24.0.txt
index c3e66b37a9da4c..c74f0bd9bcc34e 100644
--- a/doc/source/whatsnew/v0.24.0.txt
+++ b/doc/source/whatsnew/v0.24.0.txt
@@ -987,6 +987,7 @@ Sparse
 - Improved performance of :meth:`Series.shift` for non-NA ``fill_value``, as values are no longer converted to a dense array.
 - Bug in ``DataFrame.groupby`` not including ``fill_value`` in the groups for non-NA ``fill_value`` when grouping by a sparse column (:issue:`5078`)
 - Bug in unary inversion operator (``~``) on a ``SparseSeries`` with boolean values. The performance of this has also been improved (:issue:`22835`)
+- Bug in :meth:`SparseArary.unique` not returning the unique values (:issue:`19595`)
 
 Build Changes
 ^^^^^^^^^^^^^
diff --git a/pandas/core/arrays/sparse.py b/pandas/core/arrays/sparse.py
index f5e54e44254447..e6ca7b8de83e44 100644
--- a/pandas/core/arrays/sparse.py
+++ b/pandas/core/arrays/sparse.py
@@ -809,7 +809,7 @@ def _first_fill_value_loc(self):
             return -1
 
         indices = self.sp_index.to_int_index().indices
-        if indices[0] > 0:
+        if not len(indices) or indices[0] > 0:
             return 0
 
         diff = indices[1:] - indices[:-1]
diff --git a/pandas/tests/arrays/sparse/test_array.py b/pandas/tests/arrays/sparse/test_array.py
index 0257d996228df6..c6f777863265c4 100644
--- a/pandas/tests/arrays/sparse/test_array.py
+++ b/pandas/tests/arrays/sparse/test_array.py
@@ -1065,6 +1065,14 @@ def test_unique_na_fill(arr, fill_value):
     tm.assert_numpy_array_equal(a, b)
 
 
+def test_unique_all_sparse():
+    # https://github.com/pandas-dev/pandas/issues/23168
+    arr = SparseArray([0, 0])
+    result = arr.unique()
+    expected = SparseArray([0])
+    tm.assert_sp_array_equal(result, expected)
+
+
 def test_map():
     arr = SparseArray([0, 1, 2])
     expected = SparseArray([10, 11, 12], fill_value=10)