We study the settling dynamics of non-Brownian particles during steady-state sedimentation under realistic conditions by computer simulations. We show that the velocity fluctuations parallel to gravity change systematically with the particle volume fraction Φ. For dilute systems, their distribution function has a non-Gaussian form, with an extended tail in the direction of the downward velocity, while for dense systems the situation is the opposite. In the intermediate regime at Φ approx 0.05 the fluctuations are Gaussian. We show that these distributions can be understood from the dependence of the settling velocity and its fluctuations on the local density around each particle.