The optical conductivity of the Kondo insulator compound CeOs(4)Sb(12) reveals the formation of a 70 meV charge gap below 160 K. It also exhibits a weak shoulderlike structure at 30 meV, below 60 K. We have investigated CeOs(4)Sb(12) by inelastic neutron scattering techniques using incident neutron energies (E(i)) of 23 and 200 meV, at 5 and 176 K. Our measurements with E(i) = 200 meV show magnetic scattering centered near 50-60 meV and low-Q (similar to 3.8 angstrom(-1)) at 5 K, in addition to the continuum of magnetic scattering observed at 176 K. This clearly indicates the opening of a spin gap (or pseudogap ) of the order of 50 meV at 5 K in the strongly renormalized band near the Fermi energy. Furthermore, measurements with E(i) = 23 meV did not reveal any evidence of magnetic excitations below 20 meV, consistent with the scenario of a spin gap in CeOs(4)Sb(12). However, the estimated magnetic scattering deduced from the E(i) = 200 meV data reveals the presence of broad magnetic scattering between 25 and 80 meV centered near 27 meV, indicating a second energy scale with a gap energy of 27 meV. We interpret the 50 meV energy scale in terms of a direct gap, while the 27 meV energy scale corresponds to an indirect gap across the two hybridized bands. This gap energy of 27 meV is in good agreement with the so-called universal energy scale versus single ion Kondo temperature plot. We present the general features of spin gap systems such as CeOs(4)Sb(12) and CeRu(4)Sb(12), and discuss the role of crystal field excitations regarding the spin gap formation based on a theoretical model.