The magneto-optical response of the ferromagnetic semiconductor HgCdCr2Se4 at terahertz (THz) frequencies is studied using polarization sensitive THz time-domain spectroscopy. It is shown that the polarization state of broadband terahertz pulses, with a spectrum spanning from 0.2 THz to 2.2 THz, changes as an even function of the magnetization of the medium. Analysing the ellipticity and the rotation of the polarization of the THz radiation, we show that these effects originate from linear birefringence and dichroism, respectively, induced by the magnetic ordering. These effects are rather strong and reach 102 rad/m at an applied field of 1 kG which saturates the magnetization of the sample. Our observation serves as a proof-of-principle showing strong effects of the magnetic order on the response of a medium to electric fields at THz frequencies. These experiments also suggest the feasibility of spin-dependent transport measurements on a sub-picosecond timescale.