III Zw2 was observed with XMM-Newton in July 2000. Its X-ray spectrum can be described by a power law of photon index Γ≈1.7 with a Gaussian line at 6.7 KeV. There is no significant evidence of intrinsic absorption within the source or of a soft X-ray excess. Multi-wavelength light curves over a period of 25 years show related variations from the radio to X-rays. We interpret the radio to optical emission as synchrotron radiation, self-absorbed in the radio/millimetre region, and the X-rays as mainly due to Compton up-scattering of low energy photons by the population of high energy electrons that give rise to the synchrotron radiation.