Superconducting and antiferroquadrupolar (AFQ) transitions in a Pr-based compound PrRh2Zn20 have been found to occur simultaneously at Tc=TQ=0.06 K. The superconducting transition manifests itself by zero resistance and large diamagnetic susceptibility. The specific heat exhibits a Schottky anomaly peaking at 14 K and magnetization curves measured at 2 K show anisotropic behaviors. The analysis of these data indicates that the crystalline electric field (CEF) ground state of the trivalent Pr ion is the non-Kramers Gamma3 doublet with the quadrupolar degrees of freedom. A sharp peak in the specific heat at 0.06 K has been attributed not to the superconducting transition but to the AFQ transition because the ordering temperature TQ decreases in B || [100] but increases in B || [110] and B || [111] with increasing B up to 6 T. This anisotropic behavior of TQ(B) can be well explained by a two-sublattice mean-field calculation, which corroborates the AFQ ordered state below TQ. The entropy release at TQ is only 10% of Rln2 expected for the Gamma3 doublet, suggesting possible interplay between the quadrupolar degrees of freedom and the superconductivity.