It's like plugging a USB device into your computer. Your computer is the host, the device is the guest.
Yes, the Xperia SP supports this. You must buy a "USB OTG" cable (On The Go or OTG) which you can get for very cheap on Amazon or other places. Then you can plug gamepads, mice, USB memory sticks... I've tested it with a memory stick and a mouse and a gamepad. Works well. If you'd like to use a keyboard AND a mouse, you may use a USB hub. It's got to be a powered hub, though. The phone can't push that much power.
