X-ray spectroscopy of active galactic nuclei (AGN) offers the opportunity to directly probe the inner regions of the accretion disk. We present the results of our analysis of average AGN XMM-Newton X-ray spectra in the Chandra Deep Field South observation (XMM CDFS). We computed the average spectrum of a sample of 54 AGN with spectroscopic redshifts and signal-to-noise ratio S/N > 15 in the 2-12 keV rest-frame band in at least one EPIC camera. We have taken the effects of combining spectra from sources at different redshifts and both EPIC cameras into account, as well as their spectral resolution; we checked our results using thorough simulations. We explored the Fe line components of distant AGN focusing on the narrow core which arises from regions far from the central engine and on the putative relativistic component (from the accretion disk). The average spectrum shows a highly significant Fe feature. Our model-independent estimates of the equivalent width (EW) suggest a higher EW in a broader range. The line, modelled as an unresolved Gaussian, is significant at 6.8 sigma and has an EW=95 eV (full sample). The current data can be fitted equally well adding a relativistic profile to the narrow component (in the full sample, EW=140 eV and 67 eV respectively for the relativistic and narrow lines). Thanks to the high quality of the XMM CDFS spectra and to the detailed modelling of the continuum and instrumental effects, we have shown that the most distant AGN exhibit a highly significant Fe emission feature. It can be modelled both with narrow and broad lines. We found tantalising evidence for reflection by material both very close and far away from the central engine. The EW of both features are similar to those observed in individual nearby AGN, hence they must be a widespread characteristic of AGN, since otherwise the average values would be smaller than observed.

Accepted by A&A. 15 pages, 12 figures