The latest advancements in scene relighting have been predominantly driven by inverse rendering with 3D Gaussian Splatting (3DGS). However, existing methods remain overly reliant on densely sampled images under static illumination conditions, which is prohibitively expensive and even impractical in real-world scenarios. In this paper, we propose a novel learning from Sparse views under Unconstrained illuminations Relightable 3D Gaussian Splatting (dubbed SU-RGS), to address this challenge by jointly optimizing 3DGS representations, surface materials, and environment illuminations (i.e., unknown and various lighting conditions in training) using only sparse input views. Firstly, SU-RGS presents a varying appearance rendering strategy, enabling each 3D Gaussian can perform inconsistent color under various lightings. Next, SU-RGS establishes the multi-view semantic consistency by constructing hierarchical semantics pseudo-labels across inter-views, to compensate for extra supervisions and facilitate sparse inverse rendering for confronting unconstrained illuminations. Additionally, we introduce an adaptive transient object perception component that integrates the scene geometry and semantics in a fine-grained manner, to quantify and eliminate the uncertainty of the foreground. Extensive experiments on both synthetic and real-world challenging datasets demonstrate the effectiveness of SU-RGS, achieving the state-of-the-art performance for scene inverse rendering by learning 3DGS from only sparse views under unconstrained illuminations.