ABSTRACT Active galactic nuclei (AGN) can launch and sustain powerful winds featuring mildly relativistic velocity and wide opening angle. Such winds, known as ultra-fast outflows (UFOs), can develop a bubble structure characterized by a forward shock expanding in the host galaxy and a wind termination shock separating the fast, cool wind from the hot shocked wind. In this work, we explore whether diffusive shock acceleration can take place efficiently at the wind termination shock of UFOs. We calculate the spectrum of accelerated particles and find that protons can be energized up to the EeV range promoting UFOs to promising candidates for accelerating ultra-high energy cosmic rays (UHECRs). We also compute the associated gamma-ray and neutrino fluxes and compare them with available data in the literature. We observe that high-energy (HE) neutrinos are efficiently produced up to hundreds of PeV while the associated gamma rays could be efficiently absorbed beyond a few tens of GeV by the optical-ultraviolet AGN photon field. By assuming a typical source density of non-jetted AGN, we expect that UFOs could play a dominant role as diffuse sources of UHECRs and HE neutrinos. We finally apply our model to the recently observed NGC1068 and we find out that under specific parametric conditions an obscured UFO could provide a sizeable contribution to the observed gamma-ray flux while only contributing up to ∼10 per cent to the associated neutrino flux.