We investigated AGN activity in low-mass galaxies, an important regime that can shed light onto BH formation and evolution, and their interaction with their host galaxies. We identified 336 AGN candidates from a parent sample of $sim 48,000$ nearby low-mass galaxies ($M_{rm star} leq 10^{9.5}M_odot$, $z < 0.1$) in the SDSS. We selected the AGN using the classical BPT diagram, a similar optical emission line diagnostic based on the HeII$lambda$4686 line, and mid-IR color cuts. Different criteria select host galaxies with different physical properties such as stellar mass and optical color, and only 3 out of 336 sources fulfill all three criteria. This could be in part due to selection biases. The resulting AGN fraction of $sim 0.7 %$ is at least one order of magnitude below the one estimated for more massive galaxies. At optical wavelengths, the HeII-based AGN selection appears to be more sensitive to AGN hosted in star-forming galaxies than the classical BPT diagram, at least in the low-mass regime. The archival X-ray and radio data available for some of the optically selected AGN candidates seem to confirm their AGN nature, but follow-up observations are needed to confirm the AGN nature of the rest of the sample, especially in the case of mid-IR selection. Our sample will be important for future follow-up studies aiming to understand the relation between BHs and host galaxies in the low-mass regime.