We analyzed a 115 ks XMM-Newton observation and the stacking of 8 days of INTE-GRAL observations, taken during the raise of the 2015 outburst of the accreting millisecond X-ray pulsar SAX J1748.9-2021. The source showed numerous type-I burst episodes during the XMM-Newton observation, and for this reason we studied separately the persistent and burst epochs. We described the persistent emission with a combination of two soft thermal components, a cold thermal Comptonization component (∼2 keV) and an additional hard X-ray emission described by a power-law (Γ ∼ 2.3). The continuum components can be associated with an accretion disc, the neutron star (NS) surface and a thermal Comptonization emission coming out of an optically thick plasma region, while the origin of the high energy tail is still under debate. In addition, a number of broad (σ = 0.1-0.4 keV) emission features likely associated to reflection processes have been observed in the XMM-Newton data. The estimated 1.0-50 keV unabsorbed luminosity of the source is ∼5×10 37 erg s −1 , about 25% of the Eddington limit assuming a 1.4 M NS. We suggest that the spectral properties of SAX J1748.9-2021 are consistent with a soft state, differently from many other accreting X-ray millisecond pulsars which are usually found in the hard state. Moreover, none of the observed type-I burst reached the Eddington luminosity. Assuming that the burst ignition and emission are produced above the whole NS surface, we estimate a neutron star radius of ∼ 7 − 8 km, consistent with previous results.