We systematically investigate the effect of pressure on the magnetic properties of GdCo2B2 on the basis of alternating current (AC) susceptibility, AC heat capacity and electrical resistivity measurements under pressures up to 2.2 GPa. A detailed magnetic phase diagram under pressure is determined. GdCo2B2 exhibits three anomalies that apparently reflect magnetic phase transitions, respectively, at temperatures T-C = 20.5 K, T-1 = 18.0 K and T-N = 11.5 K under ambient pressure. Under pressures up to 2.2 GPa, these anomalies are observed to slightly increase at T-C and T-1, and they coincide with each other above 1.6 GPa. Conversely, they decrease at T-N and disappear under pressures higher than 1.4 GPa. The results indicate that the low-temperature magnetic phases can be easily suppressed by pressure. Moreover, the spin-glass-like behavior of GdCo2B2 is examined in terms of magnetization, aging effect and frequency dependence of AC susceptibility. A separation between the zero-field-cooled (ZFC) and field-cooled (FC) magnetization curves becomes evident at a low magnetic field of 0.001 T. A long-time relaxation behavior is observed at 4 K. The freezing temperature T-f increases with frequency increasing.