We investigate classical Heisenberg spins on the Shastry-Sutherland lattice and under an external magnetic field. A detailed study is carried out both analytically and numerically by means of classical Monte-Carlo simulations. Magnetization pseudo-plateaux are observed around 1/3 of the saturation magnetization for a range of values of the magnetic couplings. We show that the existence of the pseudo-plateau is due to an entropic selection of a particular collinear state. A phase diagram that shows the domains of existence of those pseudo-plateaux in the $(h, T)$ plane is obtained.