We investigate the optical morphologies of candidate active galaxies identified at radio, X-ray, and mid-infrared wavelengths. We use the Advanced Camera for Surveys General Catalog (ACS-GC) to identify 372, 1360, and 1238 AGN host galaxies from the VLA, XMM-Newton and Spitzer Space Telescope observations of the COSMOS field, respectively. We investigate both quantitative (GALFIT) and qualitative (visual) morphologies of these AGN host galaxies, split by brightness in their selection band. We find that the radio-selected AGN are most distinct, with a very low incidence of having unresolved optical morphologies and a high incidence of being hosted by early-type galaxies. In comparison to X-ray selected AGN, mid-IR selected AGN have a slightly higher incidence of being hosted by disk galaxies. These morphological results conform with the results of Hickox et al. 2009 who studied the colors and large-scale clustering of AGN, and found a general association of radio-selected AGN with ``red sequence galaxies, mid-IR selected AGN with ``blue cloud galaxies, and X-ray selected AGN straddling these samples in the ``green valley. In the general scenario where AGN activity marks and regulates the transition from late-type disk galaxies into massive elliptical galaxies, this work suggests that the earlier stages are most evident as mid-IR selected AGNs. Mid-IR emission is less susceptible to absorption than the relatively soft X-rays probed by XMM-Newton, which are seen at later stages in the transition. Radio-selected AGN are then typically associated with minor bursts of activity in the most massive galaxies.