Neutron diffraction and high-resolution x-ray diffraction studies find that, similar to the closely related underdoped Ba(Fe[1-x]Cox)2As2 superconducting compounds, Ba(Fe0.961Rh0.039)2As2 shows strong evidence of competition and coexistence between superconductivity and antiferromagnetic order below the superconducting transition, Tc = 14 K. The transition temperatures for both the magnetic order and orthorhombic distortion are in excellent agreement with those inferred from resistivity measurements, and both order parameters manifest a distinct decrease in magnitude below Tc. These data suggest that the strong interaction between magnetism and superconductivity is a general feature of electron-doped Ba(Fe[1-x]TMx)2As2 superconductors (TM = Transition Metal).