Sidewinding, a locomotion strategy characterized by the coordination of lateral and vertical body undulations, is frequently observed in rattlesnakes and has been successfully implemented by limbless robotic systems for effective movement across diverse terrestrial terrains. However, the integration of compliant mechanisms into sidewinding limbless robots remains less explored, posing challenges for navigation in complex, rheologically diverse environments. Inspired by a notable control simplification via mechanical intelligence in lateral undulation [1], which offloads feedback control to passive body mechanics and interactions with the environment, we present an innovative design of a mechanically intelligent limbless robot for sidewinding. This robot features a decentralized bilateral cable actuation system that resembles organismal muscle actuation mechanisms. We develop a feedforward controller that incorporates programmable body compliance into the sidewinding gait template. Our experimental results highlight the emergence of mechanical intelligence when the robot is equipped with an appropriate level of body compliance. This allows the robot to 1) locomote more energetically efficiently, as evidenced by a reduced cost of transport, and 2) navigate through terrain heterogeneities, all achieved in an open-loop manner, without the need for environmental awareness.