  We report the results of extensive high-energy observations of the X-ray
transient and black hole candidate XTE J1720-318 performed with INTEGRAL,
XMM-Newton and RXTE. The source, which underwent an X-ray outburst in 2003
January, was observed in February in a spectral state dominated by a soft
component with a weak high-energy tail. The XMM-Newton data provided a high
column density Nh of 1.2*e22 cm^{-2} which suggests that the source lies at the
Galactic Centre distance. The simultaneous RXTE and INTEGRAL Target of
Opportunity observations allowed us to measure the weak and steep tail, typical
of a black-hole binary in the so-called High/Soft State. We then followed the
evolution of the source outburst over several months using the INTEGRAL
Galactic Centre survey observations. The source became active again at the end
of March: it showed a clear transition towards a much harder state, and then
decayed to a quiescent state after April. In the hard state, the source was
detected up to 200 keV with a power law index of 1.9 and a peak luminosity of
7*e36 erg s^{-1} in the 20-200 keV band, for an assumed distance of 8 kpc. We
conclude that XTE J1720-318 is indeed a new member of the black hole X-ray
novae class which populate our galactic bulge and we discuss its properties in
the frame of the spectral models used for transient black hole binaries.
