We present numerical results obtained in a finite-temperature study of the Sp(4) Yang-Mills theory on the lattice. We study its first-order confinement/deconfinement phase transition, by reconstructing the density of states via the Logarithmic Linear Relaxation (LLR) algorithm. We perform our measurements on lattices with different extents of space and time (and aspect ratios). We estimate the size of discretisation and finite-volume artefacts. We find clear signatures of a first-order transition. We determine the critical coupling, the specific heat, and the surface tension, for finite extents of the thermal circle, and use the results to set bounds for the continuum theory.