We present the SEDs of a hard X-ray selected sample containing 136 sources with FSUB2-10keV/SUB>10SUP-14/SUP erg cmSUP-2/SUP sSUP-1/SUP 132 are AGNs. The sources are detected in a 1 degSUP2/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 17SUP+9/SUPSUB-6/SUB% of AGNs show star-forming galaxy SEDs (SF class). The sources with AGN signatures are divided in two classes, AGN1 (33SUP+6/SUPSUB-1/SUB%) and AGN2 (50SUP+6/SUPSUB-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 LSUB3-20mum/SUB/LSUPcorr/SUPSUB0.5-10keV/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.