There has been considerable interest in topological semi-metals that exhibit extreme magnetoresistance (XMR). These have included materials lacking inversion symmetry such as TaAs, as well Dirac semi-metals such as Cd3As2. However, it was reported recently that LaSb and LaBi also exhibit XMR, even though the rock-salt structure of these materials has inversion symmetry, and the band-structure calculations do not show a Dirac dispersion in the bulk. Here, we present magnetoresistance and specific heat measurements on NdSb, which is isostructural with LaSb. NdSb has an antiferromagnetic groundstate, and in analogy with the lanthanum monopnictides, is expected to be a topologically non-trivial semi-metal. We show that NdSb has an XMR of 10^4 %, even within the AFM state, illustrating that XMR can occur independently of the absence of time reversal symmetry breaking in zero magnetic field. The persistence of XMR in a magnetic system offers promise of new functionality when combining topological matter with electronic correlations. We also find that in an applied magnetic field below the Neel temperature there is a first order transition, consistent with evidence from previous neutron scattering work.