We directly observe longitudinal electromagnetic fields in focused freely propagating terahertz beams of radial and linear polarization. In accordance with theory, the longitudinal fields are phase shifted by a value of pi/2 with respect to the transverse field components. This behavior is found for all frequency components of single cycle THz radiation pulses. Additionally we show that the longitudinal field of a radially polarized THz beam has a smaller spot size as compared to the transverse field of a linearly polarized beam, that is focused under the same conditions.