CePtSi2 was reported to exhibit an antiferromagnetic order below T∗=1.8 K at ambient pressure, a valence state change at ∼1.2 GPa, and superconductivity in the range between 1.4 and 2.1 GPa with a maximum transition temperature of 0.14 K [T. Nakano et al., Phys. Rev. B 79, 172507 (2009)]. We have performed polycrystalline and single-crystal neutron diffraction experiments to determine the magnetic structure under ambient and high pressures. We found incommensurate magnetic peaks with a magnetic propagation vector of (0.32,0,0.11) at ambient pressure below TSDW∼1.25 K. Those magnetic peaks originate from a spin-density-wave order with the easy axis along the c axis and an averaged ordered moment of 0.45(5)μB, suggesting that there may be an intermediate phase between T∗ and TSDW. Applying pressures, the magnetic propagation vector shows no change and the magnetic order disappears around 1.0 GPa, which is much lower than the critical pressure for the superconducting phase. The results suggest that other than magnetic fluctuations may play a primary role in the superconducting pairing mechanism.