We report the discovery of a field driven transition from a single-q to multi-q spin density wave (SDW) in the tetragonal heavy fermion compound CeAuSb₂. Polarized along c, the sinusoidal SDW amplitude is 1.8(2)μ_B/Ce for T ≪ T_N = 6.25(10) K with a wave vector q₁ = (η,η,1/2) [η = 0.136(2)]. For H||c, harmonics appearing at 2q₁ evidence a striped magnetic texture below μ∘H₁ = 2.78(1) T. Above H₁, these are replaced by coupled harmonics at q₁ + q₂ = (2η,0,0) + c^∗ until μ∘H₂ = 5.42(5) T, where satellites vanish and magnetization nonlinearly approaches saturation at 1.64(2)μ_B/Ce for μ∘H ≈ 7 T.