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The synergistic investigation of ground-state magnetic correlation in the single-crystal heavy-fermion compound CeAuSb₂ using detailed neutron scattering measurements and density functional calculations is presented. Unlike previous reports of single antiferromagnetic transition at T_N = 6K, three successive transitions with distinct critical exponents at T_N = 5.3, 4.46, 3.76 K, respectively, are detected in CeAuSb. The low-temperature ground-state magnetic correlation is described by the spin density wave order in the basal plane with the propagation wave vector (0.135, 0.135, 0.5). The spin density wave order arises due to the nesting of hole pockets in the Fermi surface, with parallel surfaces being separated by the experimentally found propagation vector. The comprehensive investigation of magnetic ground-state properties is expected to provide new insights in understanding the emerging quantum magnetism in this system, including the debated quantum critical state and magnetic field-induced metamagnetic transitions at low temperatures.