Near-infrared (NIR) and optical polarimetric observations of a selection of X-ray binaries are presented. The targets were observed using the Very Large Telescope and the United Kingdom Infrared Telescope. We detect a significant level (3σ) of linear polarization in four sources. The polarization is found to be intrinsic (at the >3σ level) in two sources; GRO J1655-40 (~4-7 per cent in the H and Ks bands during an outburst) and Sco X-1 (~0.1-0.9 per cent in the H and K bands), which is stronger at lower frequencies. This is likely to be the signature of optically thin synchrotron emission from the collimated jets in these systems, whose presence indicates that a partially ordered magnetic field is present at the inner regions of the jets. In Sco X-1, the intrinsic polarization is variable (and sometimes absent) in the H and K bands. In the J band (i.e. at higher frequencies), the polarization is not significantly variable and is consistent with an interstellar origin. The optical light from GX 339-4 is also polarized, but at a level and position angle consistent with scattering by interstellar dust. The other polarized source is SS 433, which has a low level (0.5-0.8 per cent) of J-band polarization, likely due to local scattering. The NIR counterparts of GRO J0422+32, XTE J1118+480, 4U 0614+09 and Aql X-1 (which were all in or near quiescence) have a linear polarization level of <16 per cent (3σ upper limit, some are <6 per cent). We discuss how such observations may be used to constrain the ordering of the magnetic field close to the base of the jet in such systems. Based on observations collected at the European Southern Observatory, Chile, under ESO Programme IDs 076.D-0497 and 275.D-5062. E-mail: davidr [at] science.uva.nl (davidr[at]science[dot]uva[dot]nl) (DMR); rpf [at] phys.soton.ac.uk (rpf[at]phys[dot]soton[dot]ac[dot]uk) (RPF)