We present the SEDs of a hard X-ray selected sample containing 136 sources with F 2Y10 keV > 10 À14 erg cm À2 s À1 ; 132 are AGNs. The sources are detected in a 1 deg 2 area of the XMM-Newton Medium Deep Survey where optical data from the VVDS and CFHTLS and infrared data from the SWIRE survey are available. Based on a SED fitting technique we derive photometric redshifts with (1 þ z) ¼ 0:11 and 6% of outliers and identify AGN signatures in 83% of the objects. This fraction is higher than derived when a spectroscopic classification is available. The remaining 17 þ9 À6 % of AGNs show star-forming galaxy SEDs (SF class). The sources with AGN signatures are divided in two classes, AGN1 (33 þ6 À1 %) and AGN2 (50 þ6 À11 %). The AGN1 and AGN2 classes include sources whose SEDs are fitted by type 1 and type 2 AGN templates, respectively. On average, AGN1s show soft X-ray spectra, consistent with being unabsorbed, while AGN2s and SFs show hard X-ray spectra, consistent with being absorbed. The analysis of the average SEDs as a function of X-ray luminosity shows a reddening of the infrared SEDs, consistent with a decreasing contribution from the host galaxy at higher luminosities. The AGNs in the SF classes are likely obscured in the mid-infrared, as suggested by their low L 3Y20 m /L corr 0:5Y10 keV ratios. We confirm the previously found correlation for AGNs between the radio luminosity and the X-ray and the mid-infrared luminosities. The X-rayYradio correlation can be used to identify heavily absorbed AGNs. However, the estimated radio fluxes for the missing AGN population responsible for the bulk of the background at E > 10 keV are too faint to be detected even in the deepest current radio surveys.