Magnetic field geometry is expected to play a fundamental role in magnetar activity. The discovery of a phase-variable absorption feature in the X-ray spectrum of SGR 0418+5729, interpreted as cyclotron resonant scattering, suggests the presence of very strong non-dipolar components in the magnetic fields of magnetars. We performed a deep XMM-Newton observation of pulsar 1E 2259+586, to search for spectral features due to intense local magnetic fields. In the phase-averaged X-ray spectrum, we found evidence for a broad absorption feature at very low energy (0.7 keV). If the feature is intrinsic to the source, it might be due to resonant scattering/absorption by protons close to star surface. The line energy implies a magnetic field of ~ 10^14 G, roughly similar to the spin-down measure, ~ 6x10^13 G. Examination of the X-ray phase-energy diagram shows evidence for a further absorption feature, the energy of which strongly depends on the rotational phase (E >~ 1 keV ). Unlike similar features detected in other magnetar sources, notably SGR 0418+5729, it is too shallow and limited to a small phase interval to be modeled with a narrow phase-variable cyclotron absorption line. A detailed phase-resolved spectral analysis reveals significant phase-dependent variability in the continuum, especially above 2 keV. We conclude that all the variability with phase in 1E 2259+586 can be attributed to changes in the continuum properties which appear consistent with the predictions of the Resonant Compton Scattering model.