We present a detailed study of the magnetic and electronic properties of U$_2$Rh$_3$Si$_5$, a material that has been demonstrated to exhibit a first order antiferromagnetic phase transition. From a high magnetic field study, together with extensive experiments in moderate fields, we establish the magnetic phase diagrams for all crystallographic directions. The possibility of an electronic phase in a narrow interval above the Neel temperature as a precursor of a magnetic phase is discussed.