Cognitive abilities of sharks are well developed and comparable to teleosts and other vertebrates. Most studies exploring elasmobranch cognitive abilities have used visual stimuli, assessing a wide range of discrimination tasks, memory retention and spatial learning abilities. Some studies using acoustic stimuli in a cognitive context have been conducted, but a basic understanding of sound induced behavioural changes and the underlying mechanisms involved are still lacking. This study explored the acoustic discrimination abilities of seven juvenile grey bamboo sharks (Chiloscyllium griseum) using a Go/No-Go method, which so far had never been tested in sharks before. After this, the smallest frequency difference leading to a change in behaviour in the sharks was studied using a series of transfer tests. Our results show that grey bamboo sharks can learn a Go/No-Go task using both visual and acoustic stimuli. Transfer tests elucidated that, when both stimulus types were presented, both were used. Within the tested range of 90–210 Hz, a frequency difference of 20–30 Hz is sufficient to discriminate the two sounds, which is comparable to results previously collected for sharks and teleosts. Currently, there is still a substantial lack of knowledge concerning the acoustic abilities and sound induced behaviours of sharks while anthropogenic noise is constantly on the rise. New insights into shark sound recognition, detection and use are therefore of the utmost importance and will aid in management and conservation efforts of sharks.