We present AGNfitter: a Markov Chain Monte Carlo algorithm developed to fit the spectral energy distributions (SEDs) of active galactic nuclei (AGN) with different physical models of AGN components. This code is well suited to determine in a robust way multiple parameters and their uncertainties, which quantify the physical processes responsible for the panchromatic nature of active galaxies and quasars. We describe the technicalities of the code and test its capabilities in the context of X-ray selected obscured AGN using multiwavelength data from the XMM-COSMOS survey.