Heat a large skillet over medium heat. Cook and stir sausage, olive oil, pepper, and sage in the hot skillet until sausage is browned and crumbly, 5 to 7 minutes.
Stir flour into sausage mixture until thoroughly mixed. Pour milk into sausage mixture and reduce heat to medium-low. Cook, stirring frequently, for 5 minutes. Reduce heat to low, cover skillet with a lid, and cook, stirring occasionally, until gravy is thickened, about 10 minutes.