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Constructing k-nearest neighbor (kNN) graphs is a fundamental component in many machine learning and scientific computing applications. Despite its prevalence, efficiently building all-nearest-neighbor graphs at scale on distributed heterogeneous HPC systems remains challenging, especially for large sparse non-integer datasets. We introduce optimizations for algorithms based on forests of random projection trees. Our novel GPU kernels for batched, within leaf, exact searches achieve 1.18× speedup over sparse reference kernels with less peak memory, and up to 19× speedup over CPU for memory-intensive problems. Our library,PyRKNN, implements distributed randomized projection forests for approximate kNN search. Optimizations to reduce and hide communication overhead allow us to achieve 5× speedup, in per iteration performance, relative to GOFMM (another projection tree, MPI-based kNN library), for a 64M 128d dataset on 1,024 processes. On a single-node we achieve speedup over FAISS-GPU for dense datasets and up to 10× speedup over CPU-only libraries.PyRKNNuniquely supports distributed memory kNN graph construction for both dense and sparse coordinates on CPU and GPU accelerators.