At ambient pressure and zero field, tetragonal CeAuSb$_{2}$ hosts stripe antiferromagnetic order at $T_{N} = 6.3$ K. Here we first show via bulk thermodynamic probes and x-ray diffraction measurements that this magnetic order is connected with a structural phase transition to a superstructure which likely breaks $C_{4}$ symmetry, thus signaling nematic order. The temperature-field-pressure phase diagram of CeAuSb$_{2}$ subsequently reveals the emergence of additional ordered states under applied pressure at a multicritical point. Our phenomenological model supports the presence of a vestigial nematic phase in CeAuSb$_{2}$ akin to iron-based high-temperature superconductors; however, superconductivity, if present, remains to be discovered.