Using single crystal neutron and x-ray diffraction, we discovered a charge density wave (CDW) below 320 K, which accounts for the long-sought origin of the heat capacity and resistivity anomalies in UPt2Si2. The modulation wavevector, Qmod, is intriguingly similar to the Fermi surface nesting wavevector of URu2Si2. Qmod shows an unusual temperature dependence, shifting from commensurate to incommensurate position upon cooling and becoming locked at ~ (0.42 0 0) near 180 K. Bulk measurements indicate a cross-over toward a correlated coherent state around the same temperature, suggesting an interplay between the CDW and Kondo-lattice-like coherence before coexisting antiferromagnetic order sets in at TN = 35 K.