  At ambient pressure and zero field, tetragonal CeAuSb$_{2}$ hosts stripe
antiferromagnetic order at $T_{N} = 6.3$ K. Here we first show via bulk
thermodynamic probes and x-ray diffraction measurements that this magnetic
order is connected with a structural phase transition to a superstructure which
likely breaks $C_{4}$ symmetry, thus signaling nematic order. The
temperature-field-pressure phase diagram of CeAuSb$_{2}$ subsequently reveals
the emergence of additional ordered states under applied pressure at a
multicritical point. Our phenomenological model supports the presence of a
vestigial nematic phase in CeAuSb$_{2}$ akin to iron-based high-temperature
superconductors; however, superconductivity, if present, remains to be
discovered.
