We present the SEDs of a hard X-ray selected sample containing 136 sources with F[SUB]2-10keV[/SUB]>10[SUP]-14[/SUP] erg cm[SUP]-2[/SUP] s[SUP]-1[/SUP] 132 are AGNs. The sources are detected in a 1 deg[SUP]2[/SUP] 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 sigma(1+z)=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[SUP]+9[/SUP][SUB]-6[/SUB]% of AGNs show star-forming galaxy SEDs (SF class). The sources with AGN signatures are divided in two classes, AGN1 (33[SUP]+6[/SUP][SUB]-1[/SUB]%) and AGN2 (50[SUP]+6[/SUP][SUB]-11[/SUB]%). 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[SUB]3-20mum[/SUB]/L[SUP]corr[/SUP][SUB]0.5-10keV[/SUB] ratios. We confirm the previously found correlation for AGNs between the radio luminosity and the X-ray and the mid-infrared luminosities. The X-ray-radio 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.