This paper presents the results of a detailed X-ray spectral analysis of a sample of 123 X-ray sources detected with XMM-Newton in the Lockman Hole field . This is the deepest observation carried out with XMM-Newton with more that 600 ksec of good EPIC-pn data . We have spectra with good signal to noise ( > 500 source counts ) for all objects down to 0.2-12 keV fluxes of { \sim 5 \times 10 ^ { -15 } { erg cm ^ { -2 } s ^ { -1 } } } ( flux limit of { \sim 6 \times 10 ^ { -16 } { erg cm ^ { -2 } s ^ { -1 } } } in the 0.5-2 and 2-10 keV bands ) . At the time of the analysis , we had optical spectroscopic identifications for 60 % of the sources , 46 being optical type-1 AGN and 28 optical type-2 AGN . Using a single power law model our sources ’ average spectral slope hardens at faint 0.5-2 keV fluxes but not at faint 2-10 keV fluxes . We have been able to explain this effect in terms of an increase in X-ray absorption at faint fluxes . We did not find in our data any evidence for the existence of a population of faint intrinsically harder sources . The average spectral slope of our sources is \sim 1.9 , with an intrinsic dispersion of \sim 0.28 . We detected X-ray absorption ( F-test significance \geq 95 % ) in 37 % of the sources , \sim 10 % in type-1 AGN ( rest-frame { N _ { H } \sim 1.6 \times 10 ^ { 21 } -1.2 \times 10 ^ { 22 } cm ^ { -2 } } ) and \sim 77 \% ( rest-frame { N _ { H } \sim 1.5 \times 10 ^ { 21 } -4 \times 10 ^ { 23 } cm ^ { -2 } } ) in type-2 AGN . Using X-ray fluxes corrected for absorption , the fraction of absorbed objects and the absorbing column density distribution did not vary with X-ray flux . Our type-1 and type-2 AGN do not appear to have different continuum shapes , but the distribution of intrinsic ( rest-frame ) absorbing column densities is different among both classes . A significant fraction of our type-2 AGN ( 5 out of 28 ) were found to display no substantial absorption ( { N _ { H } < 10 ^ { 21 } cm ^ { -2 } } ) . We discuss possible interpretations to this in terms of Compton-thick AGN and intrinsic Broad Line Region properties . An emission line compatible with Fe K \alpha was detected in 8 sources ( 1 type-1 AGN , 5 type-2 AGN and 2 unidentified ) with rest frame equivalent widths 120-1000 eV . However weak broad components can be easily missed in other sources by the relatively noisy data . The AGN continuum or intrinsic absorption did not depend on X-ray luminosity and/or redshift . Soft excess emission was detected in 18 objects , but only in 9 ( including 4 type-1 AGN and 4 type-2 AGN ) could we fit this spectral component with a black body model . The measured 0.5-2 keV luminosities of the fitted black body were not significantly different in type-1 and type-2 AGN , although the temperatures of the black body were slightly higher in type-2 AGN ( \langle { kT } \rangle = 0.26 \pm 0.08 ) than in type-1 AGN ( \langle { kT } \rangle = 0.09 \pm 0.01 ) . For 9 sources ( including 1 type-1 AGN and 3 type-2 AGN ) a scattering model provided a better fit of the soft excess emission . We found that the integrated contribution from our sources to the X-ray background in the 2-7 keV band is softer ( \Gamma = 1.5 - 1.6 ) than the background itself , implying that fainter sources need to be more absorbed .