This paper investigates entropic matroids, that is, matroids whose rank function is given as the Shannon entropy of random variables. In particular, we consider p-entropic matroids, for which the random variables each have support of cardinality p. We draw connections between such entropic matroids and secret-sharing matroids and show that entropic matroids are linear matroids when p=2,3 but not when p=9. Our results leave open the possibility for p-entropic matroids to be linear whenever p is prime, with particular cases proved here. Applications of entropic matroids to coding theory and cryptography are also discussed.