  We identify a new candidate for a Be/X-ray binary in the XMM-Newton slew
survey and archival Swift observations that is located in the transition region
of the Wing of the Small Magellanic Cloud and the Magellanic Bridge. We
investigated and classified this source with follow-up XMM-Newton and optical
observations. We model the X-ray spectra and search for periodicities and
variability in the X-ray observations and the OGLE I-band light curve. The
optical counterpart has been classified spectroscopically, with data obtained
at the SAAO 1.9 m telescope, and photometrically, with data obtained using
GROND at the MPG 2.2 m telescope. The X-ray spectrum is typical of a high-mass
X-ray binary with an accreting neutron star. We detect X-ray pulsations, which
reveal a neutron-star spin period of P = (264.516+-0.014) s. The source likely
shows a persistent X-ray luminosity of a few 10^35 erg/s and in addition type-I
outbursts that indicate an orbital period of ~146 d. A periodicity of 0.867 d,
found in the optical light curve, can be explained by non-radial pulsations of
the Be star. We identify the optical counterpart and classify it as a
B1-2II-IVe star. This confirms SXP 265 as a new Be/X-ray binary pulsar
originating in the tidal structure between the Magellanic Clouds.
