Coexistence of antiferromagnetic order with superconductivity in many families of newly discovered iron-based superconductors has renewed interest to this old problem. Due to competition between the two types of order, one can expect appearance of the antiferromagnetism inside the cores of the vortices generated by the external magnetic field. The structure of a vortex in type II superconductors holds significant importance from the theoretical and the application points of view. Here we consider the internal vortex structure in a two-band s$_pm$ superconductor near a spin-density-wave instability. We treat the problem in a completely self-consistent manner within the quasiclassical Eilenberger formalism. We study the structure of the s$_pm$ superconducting order and magnetic field-induced spin-density-wave order near an isolated vortex. We examine the effect of this spin-density-wave state inside the vortex cores on the local density of states.