Nuclear obscuration plays a key role in the initial phases of AGN growth, yet not many highly obscured active galactic nuclei (AGN) are currently known beyond the local Universe, and their search is an active topic of research. The XMM-Newton survey in the Chandra Deep Field South (XMM-CDFS) aims at detecting and studying the spectral properties of a significant number of obscured and Compton-thick AGN. The large effective area of XMM-Newton in the 2-10 and 5-10 keV bands, coupled with a 3.45 Ms nominal exposure time, allows us to build clean samples in both bands) and makes the XMM-CDFS the deepest XMM-Newfon survey currently published in the 5-10 keV band. The large multi-wavelength and spectroscopic coverage of the CDFS area allows for an immediate and abundant scientific return. In this paper, we present the data reduction of the XMM-CDFS observations, the method for source detection in the 2-10 and 5-10 keV bands, and the resulting catalogues.