The optical conductivity of the heavy fermions UPd(2)Al(3) and UPt(3) has been measured in the energy range from 0.04 to 5 meV. In both compounds a well pronounced pseudogap of less than 1 meV develops in the optical response at low temperatures; we relate this to the antiferromagnetic ordering. From the energy dependence of the effective mass and scattering rate we conclude that the enhancement of the mass mainly occurs below the energy which is related to magnetic correlations between the local magnetic moments and the itinerant electrons. This implies that the magnetic order in these compounds is the prerequisite to the formation of the heavy quasiparticles and eventually to superconductivity.