We combine bright XMM-Newton data with the Chandra Deep Field South observations to explore the behavior of the intrinsic AGN absorption, as a function of redshift and luminosity. Our sample consists of 359 sources selected in the hard 2-8 keV band, spanning the flux range 6 × 10-16-3 × 10-13 erg~cm-2~s-1 with a high rate of spectroscopic or photometric redshift completeness (100 and 85 per cent respectively for the Chandra and XMM-Newton data). We derive the column density values using X-ray spectral fits. We find that the fraction of obscured AGN falls with increasing luminosity in agreement with previous findings. The fraction of obscured AGN shows an apparent increase at high redshifts (z>2). Simulations show that this effect can most probably be attributed to the fact that at high redshifts the column densities are overestimated.