We report depolarization of extragalactic sources in the NRAO VLA Sky Survey (NVSS) by local structures in the interstellar medium. The sky density of polarized sources drops by a factor 2 - 4 in regions with angular scales approx. 10 degrees, implying up to 40% depolarization on average per source. Some of these polarization shadows are associated with HII regions, but three are associated with regions of depolarized diffuse Galactic emission. The absence of a correlation between the depth of polarization shadows and H-alpha intensity suggests that some shadows are related to structure in the magnetic field. At least some polarization shadows are caused by partial bandwidth depolarization in the NVSS. Alternatively, some may be caused by regions with small scale (< 1 arcsec) variations in rotation measure.