The ultra-low frequency (ULF) magnetic field data at a station very close to the 2008 Sichuan earthquake (EQ) (on 12 May, 2008; M = 8.0) are extensively studied on the basis of combined statistical and natural time analyses. Two effects in ULF are treated: one is the well-known ULF radiation from the lithosphere, and the other is the non-conventional depression of ULF horizontal magnetic field. The simple statistical analysis has yielded: 1) no clear evidence of the presence of precursory ULF radiation, and 2) a significant effect of depression of ULF horizontal field a few days before the EQ (as a signature of ionospheric perturbations). The recently introduced natural time analysis has also been performed in order to study the critical features of the lithosphere and essentially new information has been brought about. The parameter "polarization", as the ratio of vertical to horizontal components, showed critical features in the time period of 17 -27 April, about one month to two weeks before the EQ as a signature of lithospheric radiation. Then, the natural time analysis has reconfirmed the presence of ionospheric perturbations a few days be-fore the EQ, together with an additional time window found on 19 -23 April, about one month before the EQ, exhibiting critical features in the ULF depression.