Stellar polarization between 3000 and 7500 Å has been measured in NGC 2264. Out of 37 stars (including many variables) 4 are definitely polarized, while 3 others show weak polarization. The mean (interstellar) cluster polarization is found to be very small. The highest polarization (4,6 %) is found in a T Tauri star. W 90, a variable below the main sequence, has the highest polarization found among the A and F stars (2, 6%). With the exception of W46, polarization peaks in the blue implying small particle sizes. A good correlation is found between the size of polarization and (other) shell characteristics. These measurements confirm the recently proposed shells in some pre-main sequence stars which appear to be too faint for their color, but fail to detect any new stars with extensive shells. This suggests that some of the scatter in the color-magnitude diagram amongst the A and F stars is real because of an age spread between 1 and 3 X 106 years.