We present the observed-frame optical, near-, and mid-infrared properties of X-ray-selected active galactic nuclei (AGN) in the Lockman Hole. Using a likelihood ratio method on optical, near-infrared or mid-infrared catalogues, we assigned counterparts to 401 out of the 409 X-ray sources of the XMM-Newton catalogue. Accurate photometry was collected for all the sources from U to 24 μm. We used X-ray and optical criteria to remove any normal galaxies, galactic stars, or X-ray clusters among them and studied the multiwavelength properties of the remaining 377 AGN. We used a mid-IR colour-colour selection to understand the AGN contribution to the optical and infrared emission. Using this selection, we identified different behaviours of AGN-dominated and host-dominated sources in X-ray-optical-infrared colour-colour diagrams. More specifically, the AGN-dominated sources show a clear trend in the f x / f R C vs. R C − K and f 24 μm / f R C vs. R C − K diagrams, while the hosts follow the behaviour of non X-ray detected galaxies. In the optical-near-infrared colour-magnitude diagram we see that the known trend of redder objects to be more obscured in X-rays is stronger for AGN-dominated than for host-dominated systems. This is an indication that the trend is more related to the AGN, which contaminate the overall colours, than to any evolutionary effects. Finally, we find that a significant fraction (∼30%) of the reddest AGN are not obscured in X-rays.