We report the anisotropic changes in the electronic structure of a Kondo semiconductor CeOs_2Al_<10> across an anomalous antiferromagnetic ordering temperature (T_0) of 29 K, using optical conductivity spectra. The spectra along the a and c axes indicate that an energy gap due to the hybridization between conduction bands and nearly local 4ƒ states, namely the c-ƒ hybridization gap, emerges from a higher temperature continuously across T_0. Along the b axis, on the other hand, another energy gap with a peak at 20 meV becomes visible at 39 K (>T_0) and fully opens at T_0 because of a charge instability. This result implies that the appearance of the energy gap, as well as the change in the electronic structure along the b axis, induces the antiferromagnetic ordering below T_0.