We investigate the antiferromagnetic (AF) order in the d-wave superconducting (SC) state at high magnetic fields. A two-dimensional model with on-site repulsion U, inter-site attractive interaction V and antiferromagnetic exchange interaction J is solved using mean field theory. For finite values of U and J, a first order transition occurs from the normal state to the FFLO state, while the FFLO-BCS phase transition is second order, consistent with the experimental results in CeCoIn₅. Although the BCS-FFLO transition is continuous, the Neél temperature of AF order is discontinuous at the phase boundary because the AF order in the FFLO state is induced by the Andreev bound state localized in the zeros of FFLO order parameter, while the AF order hardly occurs in the uniform BCS state. The spatial structure of the magnetic moment is investigated for the commensurate AF state as well as for the incommensurate AF state. The influence of the spin fluctuations is discussed for both states. Since the fluctuations are enhanced in the normal state for incommensurate AF order, this AF order can be confined in the FFLO state. The experimental results in CeCoIn₅ are discussed.