The ESAs X-ray Multi-Mirror Mission (XMM-Newton) created a new, high quality version of the XMM-Newton serendipitous source catalogue, 4XMM-DR9, which provides a wealth of information for observed sources. The 4XMM-DR9 catalogue is correlated with the Sloan Digital Sky Survey (SDSS) DR12 photometric database and the ALLWISE database, then we get the X-ray sources with information from X-ray, optical and/or infrared bands, and obtain the XMM-WISE sample, the XMM-SDSS sample and the XMM-WISE-SDSS sample. Based on the large spectroscopic surveys of SDSS and the Large Sky Area Multi-object Fiber Spectroscopic Telescope (LAMOST), we cross-match the XMM-WISE-SDSS sample with those sources of known spectral classes, and obtain the known samples of stars, galaxies and quasars. The distribution of stars, galaxies and quasars as well as all spectral classes of stars in 2-d parameter spaces is presented. Various machine learning methods are applied on different samples from different bands. The better classified results are retained. For the sample from X-ray band, rotation forest classifier performs the best. For the sample from X-ray and infrared bands, a random forest algorithm outperforms all other methods. For the samples from X-ray, optical and/or infrared bands, LogitBoost classifier shows its superiority. Thus, all X-ray sources in the 4XMM-DR9 catalogue with different input patterns are classified by their respective models which are created by these best methods. Their membership and membership probabilities to individual X-ray sources are assigned. The classified result will be of great value for the further research of X-ray sources in greater detail.
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