We report the pressure effect on the magnetic ground state of the heavy-fermion (HF) canted antiferromagnet YbRhSb (orthorhombic ɛ-TiNiSi-type) by means of magnetization and resistivity measurements using a single crystal. At ambient pressure, this compound undergoes a transition at TM1=2.7 K into a canted antiferromagnetic (AF) state with a small spontaneous moment of 3×10-3 μB/Yb. With increasing pressure P above 1 GPa, another magnetic transition occurs at TM2 above TM1, and TM1(P) has a deep minimum of 2.5 K at 1.7 GPa. For P≥2 GPa, the canted AF structure changes to a ferromagnetic (FM) one, where a large moment 0.4 μB/Yb lies in the orthorhombic b-c plane and a metamagnetic transition occurs at B || a = 1.5 T. This unusual FM state below TM3≅4.3 K is ascribed to the balance between the single-ion crystalline electric field (CEF) anisotropy with easy direction || a and the intersite exchange interaction with easy b-c plane. Furthermore, we have investigated the pressure dependence of TM3 up to 20.4 GPa using electrical resistivity measurements. The structural stability under pressures up to 19 GPa was examined by x-ray diffraction. We find that TM3 above 2.5 GPa steeply increases up to about 7 K, showing a broad maximum and then slightly decreases with increasing pressure above 8 GPa, while the structure remains unchanged. We attribute the enhancement of TM3 above 2.5 GPa to an increase of the CEF anisotropy with respect to magnetic exchange anisotropy. Finally, we compare and discuss the volume dependence of magnetic phase diagram of YbRhSb with the isostructural HF ferromagnet YbNiSn.