We present an RI photometric survey covering an area of 430 arcmin2 around the multiple star sigma Orionis. The observations were conducted with the 0.8 m IAC-80 Telescope at the Teide Observatory. The survey limiting R and I magnitudes are 22.5 and 21, and completeness magnitudes 21 and 20, respectively. We have selected 53 candidates from the I vs. R-I colour-magnitude diagram (I = 14-20) that follow the previously known photometric sequence of the cluster. Adopting an age of 2-4 Myr for the cluster, we find that these objects span a mass range from 0.35 M&sun; to 0.015 M&sun;. We have performed J-band photometry of 52 candidates and K_s photometry for 12 of them, with the result that 50 follow the expected infrared sequence for the cluster, thus confirming with great confidence that the majority of the candidates are bona fide members. JHK_s photometry from the Two Micron All Sky Survey (2MASS) is available for 50 of the candidates and are in good agreement with our data. Out of 48 candidates, which have photometric accuracies better than 0.1 mag in all bands, only three appear to show near-infrared excesses.