The crystalline electric field (CEF) level scheme and magnetic structure of a tetragonal antiferromagnet CePd5Al2 with [Formula: see text] K and [Formula: see text] K were studied by neutron scattering, magnetization and magnetoresistance measurements. Inelastic neutron scattering measurements on the powder sample revealed CEF excitations at 21.3 and 22.4 meV. The derived wave functions of the CEF ground state for the Ce3+ ion consist primarily of [Formula: see text] under the tetragonal symmetry. By means of single-crystal neutron diffraction, magnetic Bragg peaks characterized by a propagation vector [Formula: see text] were observed at [Formula: see text]. Our analysis indicates a sinusoidally modulated magnetic structure with amplitude of 2.0(1) [Formula: see text]/Ce, where the magnetic moments point to the [Formula: see text]-axis. The intensity of the third-order harmonic at 0.8 K is 1/30 as small as that expected for an antiphase structure, suggesting that the modulated structure remains at least down to 0.8 K. Both the magnetization and magnetoresistance show several anomalies in the magnetically ordered phase, indicating field-induced successive changes of the magnetic structure.