Aims: We study in detail nine sources in the direction of the young σ Orionis cluster, which is considered to be a unique site for studying stellar and substellar formation. The nine sources were selected because of their peculiar properties, such as extremely-red infrared colours or excessively strong Hα emission for their blue optical colours. Methods: We acquired high-quality, low-resolution spectroscopy (R ˜ 500) of the nine targets with ALFOSC at the Nordic Optical Telescope. We also re-analysed [24]-band photometry from MIPS/Spitzer and compiled the highest quality photometric dataset available at the V i J H Ks passbands and the four IRAC/Spitzer channels, for constructing accurate spectral energy distributions between 0.55 and 24 μm. Results: The nine targets were classified into: one Herbig Ae/Be star with a scattering edge-on disc; two G-type stars; one X-ray flaring, early-M, young star with chromospheric Hα emission; one very low-mass, accreting, young spectroscopic binary; two young objects at the brown-dwarf boundary with the characteristics of classical T Tauri stars; and two emission-line galaxies, one undergoing star formation, and another whose spectral energy distribution is dominated by an active galactic nucleus. We also discovered three infrared sources associated with overdensities in a cold cloud of the cluster centre. Conclusions: Low-resolution spectroscopy and spectral energy distributions are a vital tool for measuring the physical properties and evolution of young stars and candidates in the σ Orionis cluster.