  Past studies of compact active galactic nuclei (AGNs), the dominant
population at high radio frequencies, selected them using flat spectral index
criteria. This biases the sample due to the steepening of AGN spectra at high
radio frequencies. We improve upon this by selecting 3610 compact AGNs using
their angular size information ($\sim$0.15 arcsec scale) from the Australia
Telescope 20 GHz (AT20G) high-angular-resolution catalogue. We cross-match
these against the Wide-field Infrared Survey Explorer All-WISE catalogue and
present a catalogue with 3300 (91%) matches, 91 (3%) rejects and 219 (6%)
nondetections that are excellent high redshift candidates. Of the matched
compact AGNs, 92% exhibit QSO mid-infrared colours (W1-W2>0.5). Therefore, our
sample of high frequency compact sources has a very high rate of identification
with mid-infrared QSOs. We find counterparts for 88% of 387 compact
steep-spectrum (CSS) sources in the AT20G survey, 82%$\pm$5% of which exhibit
QSO mid-infrared colours and have moderate redshifts (median redshift = 0.82),
while those dominated by host galaxy colours in mid-infrared have lower
redshifts (median redshift = 0.13). The latter classified into late- and
early-type galaxies using their mid-infrared colours shows a majority
(68%$\pm$4%) have colours characteristic of late-type galaxies. Thus, we find
that a larger fraction of these CSS sources are embedded in hosts with higher
gas densities than average early-type galaxies. We compare mid-infrared colours
of our AGNs against those reported for AGNs primarily selected using non-radio
techniques. This shows that mid-infrared SED of high frequency selected compact
radio AGN is comparatively less red, possibly due to contributions from their
hosts.
