CoSe$_2$O$_5$ has a crystal structure consisting of zig-zag chains of edge shared CoO$_6$ octahedra running along the c axis, with the chains separated by Se$_2$O$_5^{2-}$ units. Magnetic susceptibility measurements indicate a transition at 8.5 K to an ordered state. We investigate here the nature of this magnetic ordering using magnetization and specific heat measurements in addition to powder neuttron diffraction. A transition to long-range antiferromagnetic order is found below $T_N$ = 8.5 K as identified by magnetic susceptibility measurements and magnetic Bragg reflections, with a propagation vector $mathbf{k}$ = 0. The magnetic structure shows that the moments align perpendicular to the c-axis, but with the spins canting with respect to the a axis by, alternately, $+8^circ$ and $-8^circ$. Interestingly, the low-field magnetic susceptibility does not show the anticipated cusp-like behavior expected for a well-ordered antiferromagnet. When the susceptibility is acquired under field-cooling conditions under a 10 kOe field, the the usual downturn expected for antiferromagnetic ordering is obtained. Heat capacity measurements at low temperatures indicate the presence of gapped behavior with a gap of 6.5 K.