Two-component Bose-Einstein condensate offers an ideal platform for investigating many intriguing topological defects due to the interplay between intraspecies and interspecies interactions. The recent realization of spin-orbit coupling in two-component Bose-Einstein condensate, owing to coupling between the spin and the centre-of-mass motion of the atom, provides possibly new opportunities to search for novel quantum states. In particular, the gradient magnetic field in the Bose-Einstein condensate has brought a new way to create topologically nontrivial structures including Dirac monopoles and quantum knots. Previous studies of the gradient magnetic field effect in the Bose-Einstein condensate mainly focused on the three-component case. However, it remains unclear how the gradient magnetic field affects the ground state configuration in the rotating two-component Bose-Einstein condensate with spin-orbit coupling. In this work, by using quasi two-dimensional Gross-Pitaevskii equations, we study the ground state structure of a rotating two-component Bose-Einstein condensate with spin-orbit coupling and gradient magnetic field. We concentrate on the effects of the spin-orbit coupling and the gradient magnetic field on the ground state. The numerical results show that increasing the strength of the spin-orbit coupling can induce a phase transition from skyrmion lattice to skyrmion chain in the presence of the gradient magnetic field. Unlike the study of skyrmion in rotating two-component Bose-Einstein condensate with only spin-orbit coupling, the skyrmion chain can occur under the isotropic spin-orbit coupling when the gradient magnetic field is considered. It is worth noting that the skyrmion chain here is arrayed along the diagonal direction. Next we examine the effect of the gradient magnetic field on spin-orbit coupled two-component Bose-Einstein condensate. For the case of weak spin-orbit coupling and the slow rotation, a phase transition from a single plane-wave to half-skyrmion is found through increasing magnetic field gradient strength. For the case of strong spin-orbit coupling and the fast rotation, the nature of the ground state is shown to support the formation of a hidden vortex as the gradient magnetic field is enhanced. These hidden vortices have no visible cores in density distributions but have phase singularities in phase distributions, which are arrayed along the diagonal direction. This result confirms a new method of creating the hidden vortices in the two-component Bose-Einstein condensate. These topological structures can be detected by using the time-of-flight absorption imaging technique. Our results illustrate that the gradient magnetic field not only provides an opportunity to explore the exotic topological structures in spin-orbit coupled spinor Bose-Einstein condensate, but also is crucial for realizing the phase transitions among different ground states. This work paves the way for the future exploring of topological defect and the corresponding dynamical stability in quantum systems subjected to a gradient magnetic field.