No it did not the sphinx stayed on ground and guarded the pyramids. Because if the sphinx went with the Pharaoh then what would guard the pyramids. Yeah that's right nothin could protect it so the king has to go by himself in the afterlife until the waying of the heart. So while the Pharaoh has his afterlife the sphinx will live on and on and on. It will be a symbol to the Egyptians of how strong their ancestors were.