This creature is: mythological
In Ancient Egyptian mythology, most of the gods can appear in multiple forms. Typically, they can appear as human, or as an animal. Some have more than one different animal form. Then there is the animal-headed humanoid form that most of are familiar with from illustrations and pop culture.
The Sha is one animal form of the god Set (also called Seth or Sutekh, among other variations of the name). Because of this it is also called the Set Animal. It is also sometimes called the Typhonic Beast as the god Typhon is seen as the Greek equivalent to Set.
Most of the animal forms of the gods are easy to identify (Horus is a falcon, Anubis is a jackal…) but not so for the Sha. We have no real clue what it is!
There are some theories though.
The beast is often likened to an aardvark, anteater or donkey. The Egyptologist Ken Moss suggested the Set animal could be a Saluki dog with cropped ears. Another theory is that it represents a now extinct animal, which I think is the most plausible.
Personally, I think the Sha’s curved snout looks rather like a tapir’s. Perhaps it could have been a big-eared, skinny, desert tapir… But they are not found near Egypt, so probably not!
The Sha is almost certainly a mammal. It has a thin dog-like body, a downwards-curving snout, and large angular ears. It is usually depicted with a forked tail, the fork is probably a simplified tuft of fur. It sometimes seems to have equine hooves, other times paws. It is normally black, but sometimes is reddish.
The Set Animal’s curved head and forked tail are represented on the Was-sceptre, a staff symbolising power, which sometimes Anubis or Set are shown holding.
Next to nothing is known about the creature itself, but we do know about the god it represented. Set is the god of deserts, storms, disorder, violence, and foreigners. He is one of the oldest among the Egyptian pantheon, and started out as one of their top gods, later being vilified, likely because he originated from an earlier people’s religion. He is a brother of king Osiris and is the antagonist in many myths. He killed Osiris (who from then on ruled the gods from the afterlife), then attempted to steal the body from Anubis the god of embalming (mummification). Anubis caught Set and punished him multiple times, but Set kept on trying. So, finally, Anubis decided he’d had enough and he killed Set so that he was very dead (I shan’t go into the gruesome details of that). Set’s violent nature found a use in the afterlife, though: he protects the sun god Ra’s barge from the huge snake Apep (also called Apophis), who would otherwise swallow the sun.
External link:
The Sha on Wikipedia