In this paper we report on the 4–80 keV wide-band X-ray spectrum of the High Mass X-ray Binary GX 301–2 observed by the BeppoSAX satellite during an extended monitoring campaign in 1998. The source was observed at 4 different orbital phases corresponding to diverse luminosity states. The 4–80 keV continuum is described well by the multi component partial-covering absorber model corrected by a high energy cutoff. In addition to the Kα (at ~6.4 keV) iron emission fluorescence line, the Kβ (at ~7 keV) was observed together with an absorption-like feature at hard energies that we interpret as a cyclotron resonance scattering feature (CRSF). Both the continuum and the CRSF show clear dependence on the orbital phase. This is likely to be caused by the variation in the luminosity with the orbit, even if the resulting relation between cyclotron energy and luminosity is difficult to interpret within the present one-dimensional models of accretion columns. In fact, when the neutron star is close to periastron and the system is in a low luminosity state ( erg/s for an assumed distance of 1.8 kpc), the CRSF centroid energy is observed at ~45 keV, while at orbital phase ∼0.9 (at a maximum luminosity of ~ erg/s) it is 53 keV in contrast with predictions. The cyclotron energy is also found to vary with the pulse phase, asymmetrically with respect to the pulse profile. Consequences for the geometry of the magnetic field are finally discussed.