Tunable polarization over a wide spectral range is a required feature of light sources employed to investigate the properties of local symmetry in both condensed and low-density matter. Among new-generation sources, free-electron lasers possess a unique combination of very attractive features, as they allow to generate powerful and coherent ultra-short optical pulses in the VUV and X-ray spectral range. However, the question remains open about the possibility to freely vary the light polarization of a free-electron laser, when the latter is operated in the so-called nonlinear harmonic-generation regime. In such configuration, one collects the harmonics of the free-electron laser fundamental emission, gaining access to the shortest possible wavelengths the device can generate. In this letter we provide the first experimental characterization of the polarization of the harmonic light produced by a free-electron laser and we demonstrate a method to obtain tunable polarization in the VUV and X-ray spectral range. Experimental results are successfully compared to those obtained using a theoretical model based on the paraxial solution of Maxwells equations. Our findings can be expected to have a deep impact on the design and realization of experiments requiring full control of light polarization to explore the symmetry properties of matter samples.