[Show abstract][Hide abstract] ABSTRACT: We present the multiwavelength properties of 266 cataloged radio sources identified with 20 and 6 cm VLA deep observations of the CDFS at a flux density limit of 42 \mu Jy at the field centre at 1.4 GHz. These new observations probe the faint end of both the star formation and radio galaxy/AGN population. X-ray data, including upper limits, turn out to be a key factor in establishing the nature of faint radio sources. We find that, while the well-known flattening of the radio number counts below 1 mJy is mostly due to star forming galaxies, these sources and AGN make up an approximately equal fraction of the sub--millijansky sky, contrary to some previous results. We have also uncovered a population of distant AGN systematically missing from many previous studies of sub-millijansky radio source identifications. The AGN include radio galaxies, mostly of the low-power, Fanaroff-Riley I type, and a significant radio-quiet component, which amounts to approximately one fifth of the total sample. We also find that radio detected, X-ray AGN are not more heavily obscured than the X-ray detected AGN. This argues against the use of radio surveys as an efficient way to search for the missing population of strongly absorbed AGN.