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 600ks of good EPIC-pn data. We have spectra with good signal to noise (>500 source counts) for all objects down to 0.2-12keV fluxes of 5x10-15erg/cm2/s (flux limit of 6x10-16erg/cm2/s in the 0.5-2 and 2-10keV 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 0.5-2keV fluxes but not at faint 2-10keV fluxes. (1 data file).