We show experimentally that the emission of a surface-emitting semiconductor laser becomes elliptically polarized in the presence of an axial magnetic field. This ellipticity is accompanied by a change of the mode spectrum. The overall results are consistent with a linear model describing the combined effect of birefringence and Faraday rotation. A weak onset of non-linear polarization behavior is observed; this is ascribed to the polarization dependence of the gain saturation.