A mixed graph is a graph with edges and arcs, which can be considered as a hybrid of an undirected graph and a directed graph. In this paper we define the mixed adjacency matrix and the mixed energy of a mixed graph. The mixed adjacency matrix generalizes both the adjacency matrix of an undirected graph and the skew-adjacency matrix of a digraph. Then we compute the characteristic polynomial of the mixed adjacency matrix of a mixed graph and deduce some basic results from it. Furthermore, we give bounds to the mixed energy of a general mixed graph, and we compute the mixed energy of some special mixed graphs. At the end of the paper, we introduce mixed unitary Cayley graphs and compute their spectra.