We present magnetic measurements in a single crystal of the newly discovered superconducting iron-pnictide BaFe_1.8Co_0.2As₂. The magnetization loops exhibit a second magnetization peak (SMP) similar to that observed in most high temperature superconductors (HTS). Magnetic relaxation measurements reveal a minimum in the normalized relaxation rate, S=dlnM/dlnt, located in-between the onset and the peak itself. The SMP in HTS is commonly associated with the vortex order-disorder phase transition. However, in BaFe_1.8Co_0.2As₂ the onset and peak fields, as well as the minimum point in S, exhibit strong temperature dependence down to low temperatures, excluding the possibility for such a transition. We suggest that the SMP in BaFe_1.8Co_0.2As₂ is associated with a vortex rhombic to a square structural phase transition, taking place at the minimum point of S. As a support for this scenario we present a theoretical fit to the transition line determined from the minimum points of S, based on a recent theoretical model by Rosenstein et al.  [Phys. Rev. B 72, 144512 (2005)].