The elliptic flow of Lambda hyperons has been measured by the NA49 collaboration at the CERN-SPS in semi-central Pb+Pb collisions at 158A GeV. The standard method of correlating particles with the event plane was used. Measurements of v2 near mid-rapidity are reported as a function of rapidity, centrality and transverse momentum. Elliptic flow of Lambda particles increases both with the impact parameter and with the transverse momentum. It is compared with v2 for pions and protons as well as with model calculations. The observation of significant elliptic flow and its mass dependence suggest strong collective behaviour of the matter produced in collisions of heavy nuclei already at the SPS. Scaling properties of elliptic flow of different particle species have been tested at 158A GeV. The limited pT range of the data does not allow for a decisive test of the coalescence model.