We report a neutron diffraction study of the magnetic phase transitions in the charge-density wave (CDW) TbTe₃ compound. We discover that in the paramagnetic phase there are strong 2D-like magnetic correlations, consistent with the pronounced anisotropy of the chemical structure. A long-range incommensurate magnetic order emerges in TbTe₃ at T_mag1 = 5.78K as a result of continuous phase transitions. We observe that near the temperature T_mag1 the magnetic Bragg peaks appear around the position (0, 0, 0.24) (or its rational multiples), that is fairly close to the propagation vector (0,0,0.29) associated with the CDW phase transition in TbTe₃. This suggests that correlations leading to the long-range magnetic order in TbTe₃ are linked to the modulations that occur in the CDW state.