Magnetic response of uranium dioxide (UO2) has been investigated through temperature and magnetic field dependent dc magnetization measurements. UO2 is a paramagnet at room temperature. The magnetic susceptibility, however, deviates from Curie-Weiss (CW) like paramagnetic behavior below T = 280 K. Further down the temperature UO2 undergoes phase transition to an antiferromagnetic state below TN = 30.6 K. The zero field cooled (ZFC) and field cooled (FC) magnetizations exhibit some distinct thermomagnetic irreversibility below TN. The temperature dependence of the FC magnetization is more like a ferromagnet, whereas ZFC magnetization exhibits distinct structures not usually observed in the antiferromagnets. In low applied magnetic field this thermomagnetic irreversibility in magnetization exists in a subtle way even in the paramagnetic regime above TN up to a fairly high temperature, but vanishes in high applied magnetic fields. Deviation from CW law and irreversibility between ZFC and FC magnetization indicate that the paramagnetic state above TN is not a trivial one. Magnetic response below TN changes significantly with the increase in the applied magnetic field. Thermomagnetic irreversibility in magnetization initially increases with the increase in the strength of applied magnetic field, but then gets reduced in the high applied fields. A subtle signature of a magnetic field induced phase transition is also observed in the isothermal magnetic field vartaion of magnetization. All these experimetal results highlight the non-trivial nature of the antiferromagnetic state in UO2