BVJK light curves of CG Cygni show an apparent infrared excess < 0.2 mag out of eclipse, assuming the spectral types of the components to be G9.5V + K3V. The depths of the eclipses also show an excess equal (within the errors) to that at quadrature. The source of these excesses is most probably a circum-system shell of cool material; it cannot be material at the inner Lagrangian point. A subsidiary third minimum is present in at least the J light curve; it suggests the presence of material localised in the orbital plane, but not at the Lagrangian point.