  Ultrafast optical spectroscopy was used to investigate the ultrafast
quasiparticle dynamics of antiferromagnetic Kondo lattice CeAuSb$_2$ as a
function of temperature and fluence. Our results reveal (i) the opening of a
narrow hybridization gap ($\Delta$ $\sim$ 4.5 meV) near the Fermi level below
the coherence temperature $T^*$ $\approx$ 100 K, (ii) the coupling of coherent
phonon modes with Kondo effect and magnetic orders, leading to the frequencies
anomaly at the characteristic temperatures, and (iii) a possible photoinduced
nonthermal phase transition. Our observations thus shed light on the
hybridization dynamics and magnetic orders in heavy fermion systems.
