Physical properties of the Sm0.2Gd0.8Ni4B compound have been investigated by means of the X-ray powder diffraction, DC and AC-susceptibility techniques. The compound studied crystallizes in CeCo4B type structure with P6/mmm space group. The unit-cell parameters a and c are determined as 5.01 and 6.95 angstrom, respectively, and the unit-cell volume V is calculated as 151.08 angstrom(3). DC and AC magnetic measurements present the visible magnetic phase transition from paramagnetic to ferromagnetic, around definite transition temperature. The magnetic phase transition temperature of the compound is obtained from DC magnetization, AC-susceptibility and the well known Kouvel-Fisher method as 36.6, 35.7 and 35.2 K, respectively. The saturation magnetization (Ms) and the coercive fields (Hc) of the compound are found to be 3.7 mu(B)/f.u and 277 Oe, respectively, by using the hysteresis loops at 9.5 K. We have also investigated the non-linear AC-susceptibility of the compound, around its ferromagnetic transition temperature, as a function of temperature, frequency and amplitude of the AC-driving field. In order to explain the measured experimental results, we have used the theory developed for ferromagnetic, based upon the mean field model. The measurements exhibit both frequency and amplitude dependencies. Observed dependencies are compared with the existing theories of linear and nonlinear susceptibilities with reference to short- and long-range interactions. In Kouvel-Fisher method, one plots 1/chi(1)*(d chi(-1)/dT) against T, obtaining a straight line. The slope of this line gives the critical exponent gamma, and it intersects the T axis at Tc. In order to obtain d chi(-1)/dT and the best straight line, we used a two-point numerical differentiation program and linear regression method, respectively. The critical exponent gamma of the sample is calculated to be 2.78 +/- 0.05. The value of the critical exponent beta, which is characteristic of static phase transition to a ferromagnetic state, is estimated as 2.41 +/- 0.3 from the slope of the line obtained the plot of the absolute third-harmonic values versus the reduced temperature on a log log scale.