We present a study of the infrared properties of 4922 spectroscopically confirmed massive stars in the Large and Small Magellanic Clouds, focusing on the active OB star population. Besides OB stars, our sample includes yellow and red supergiants, Wolf-Rayet stars, Luminous Blue Variables (LBVs) and supergiant B[e] stars. We detect a distinct Be star sequence, displaced to the red, and find a higher fraction of Oe and Be stars among O and early-B stars in the SMC, respectively, when compared to the LMC, and that the SMC Be stars occur at higher luminosities. We also find photometric variability among the active OB population and evidence for transitions of Be stars to B stars and vice versa. We furthermore confirm the presence of dust around all the supergiant B[e] stars in our sample, finding the shape of their spectral energy distributions (SEDs) to be very similar, in contrast to the variety of SED shapes among the spectrally variable LBVs.