Double perovskite oxides Sr{sub 2}FeMoO{sub 6} have attracted a great interest for their peculiar magneto-transport properties, and, in particular, for the large values of low-field magneto-resistance (MR) which remains elevated even at room temperature, thanks to their high Curie temperature (T {sub c} > 400 K). These properties are strongly influenced by chemical cation disorder, that is by the relative arrangement of Fe and Mo on their sublattices: the regular alternation of Fe and Mo enhances the MR and saturation magnetization. On the contrary the disorder generally depresses the magnetization and worsen the MR response. In this work the X-ray absorption fine structure (XAFS) technique has been employed in order to probe the cation order from a local point of view. XAFS spectra were collected at the Fe and Mo K edges on Sr{sub 2}FeMoO{sub 6} samples with different degree of long-range chemical order. The XAFS results prove that a high degree of short-range cation order is preserved, despite the different long-range order: the Fe-Mo correlations are always preferred over the Fe-Fe and Mo-Mo ones in the perfectly ordered as well as in highly disordered samples.