Crystals of CeFeSb₃ were synthesised using a Bi-flux. The compound crystallises in the CePdSb₃ structure type and contains alternating slabs of Fe-centered Sb octahedra pairs and Sb square layers separated by layers of Ce atoms. Short Fe-Fe distances of 2.682 Å in the octahedra pairs suggest a covalent bond, which was confirmed by quantum chemical calculations. Magnetisation measurements indicate a complex antiferromagnetic ordering at T_N = 4.7 K, attributed to localised Ce 4f moments, likely mediated by RKKY interactions. Mößbauer spectroscopy confirms the non-magnetic behaviour of the Fe atoms. Electrical transport data corroborate CeFeSb₃ as a metal with Kondo-like interactions competing with the magnetic ordering.