We report on the results of four XMM–Newton observations separated by about ten days from each other of Cyg OB2 #8A [O6If + O5.5III(f)]. This massive colliding wind binary is a very bright X‐ray emitter — one of the first X‐ray emitting O‐stars discovered by the Einstein satellite — as well as a confirmed non‐thermal radio emitter whose binarity was discovered quite recently. The X‐ray spectrum between 0.5 and 10.0 keV is essentially thermal, and is best fitted with a three‐component model with temperatures of about 3, 9 and 20 MK. The X‐ray luminosity corrected for the interstellar absorption is rather large, i.e. about 1034 erg s−1. Compared to the ‘canonical’LX/Lbol ratio of O‐type stars, Cyg OB2 #8A was a factor of 19–28 overluminous in X‐rays during our observations. The EPIC spectra did not reveal any evidence for the presence of a non‐thermal contribution in X‐rays. This is not unexpected considering that the simultaneous detections of non‐thermal radiation in the radio and soft X‐ray (below 10.0 keV) domains is unlikely. Our data reveal a significant decrease in the X‐ray flux from apastron to periastron with an amplitude of about 20 per cent. Combining our XMM–Newton results with those from previous ROSAT‐PSPC and ASCA‐SIS observations, we obtain a light curve suggesting a phase‐locked X‐ray variability. The maximum emission level occurs around phase 0.75, and the minimum is probably seen shortly after the periastron passage. Using hydrodynamic simulations of the wind–wind collision, we find a high X‐ray emission level close to phase 0.75, and a minimum at periastron as well. The high X‐ray luminosity, the strong phase‐locked variability and the spectral shape of the X‐ray emission of Cyg OB2 #8A revealed by our investigation point undoubtedly to X‐ray emission dominated by colliding winds.