X-Men's McAvoy will lead the cast as Dream, while Kat Dennings will play Death, Miriam Margolyes will voice Despair, and Sheen will tackle the character Lucifer.
In a statement released to The Hollywood Reporter, Audible Originals editor-in-chief, David Blum, writes: "A truly exceptional cast of artists will be bringing this cultural phenomenon to life. We are honored to be working alongside Neil Gaiman and DC to create a truly immersive adaptation that we know fans and listeners will love."
Gaiman will narrate the series and serve as executive producer, alongside his longtime collaborator Dirk Maggs, who adapted the first three volumes of the graphic novels and will direct the series.
The first part of the drama will debut on Audible on 15 July.