We have studied the effect of pressure on the electrical resistivity of a high-quality single crystal CeAgSb2 which has a small net ferromagnetic moment of 0.4 mu(B)/Ce. The magnetic ordering temperature. T-ord = 9.7 K decreases with increasing pressure p and disappears at a critical pressure p(c) similar or equal to 3.3 GPa. The residual resistivity, which is close to zero up to 3 GPa, increases steeply above 3 GPa, reaching 55 muOmega cm at p(c). A huge residual resistivity is found to appear when the magnetic order disappears.