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We present results of electrical transport studies on the magnetic phases of the antiferromagnet CeAuSb₂ under uniaxial pressure. Unstressed CeAuSb₂ develops incommensurate spin density waves at 6.5 K, and has two metamagnetic transitions, at H₁ = 2.9 T and H₂ = 5.9 T. In the unstressed crystal, the magnetic order spontaneously lifts the C₄ symmetry of the lattice, with <110> principal axes. This spontaneous symmetry breaking is clearly seen in the response to uniaxial stress, however within our resolution C₄ symmetry is restored above H₁; we observe neither (110)/(1-10) nor (100)/(010) symmetry breaking. With compression above ~0.5%, the field-temperature phase diagram becomes qualitatively different from its form in the unstressed crystal.