We present a search for neutral supersymmetric Higgs bosons decaying to tau+ tau- pairs produced in p anti-p collisions at s**(1/2) ñ.96 TeV. The data have been collected with the CDF II and D0 detectors at the Tevatron collider at Fermilab (1 fb-1 of integrated luminosity per experiment). No significant excess above the standard model backgrounds is observed. We set exclusion limits on the Higgs production cross-section times the branching fraction of its decay tau+ tau- pairs for Higgs masses in the range from 90 to 250 GeV/c2. We also set exclusion limits on MSSM parameters m_A and tan beta in several benchmark scenarios.