Context. We present the first public data release of the VISTA EXtension to Auxiliary Surveys (VEXAS), comprising nine cross-matched multi-wavelength photometric catalogues where each object has a match in at least two surveys. Aims. Our aim is to provide spatial coverage that is as uniform as possible in the multi-wavelength sky and to provide the astronomical community with reference magnitudes and colours for various scientific uses: object classification (e.g. quasars, galaxies, and stars; high-z galaxies, white dwarfs); photometric redshifts of large galaxy samples; searches of exotic objects (e.g. extremely red objects and lensed quasars). Methods. We cross-matched the wide-field VISTA catalogues (the VISTA Hemisphere Survey and the VISTA Kilo Degree Infrared Galaxy Survey) with the AllWISE mid-infrared Survey, requiring a match within 10″. We have further matched this table with X-ray and radio data (ROSAT, XMM, SUMSS). We also performed a second cross-match between VISTA and AllWISE, with a smaller matching radius (3″), including WISE magnitudes. We then cross-matched this resulting table (≈138 × 10⁶ objects) with three photometric wide-sky optical deep surveys (DES, SkyMapper, PanSTARRS). We finally included matches to objects with spectroscopic follow-up by the SDSS and 6dFGS. Results. To demonstrate the power of all-sky multi-wavelength cross-match tables, we show two examples of scientific applications of VEXAS, in particular using the publicly released tables to discover strong gravitational lenses (beyond the reach of previous searches) and to build a statistically large sample of extremely red objects. Conclusions. The VEXAS catalogue is currently the widest and deepest public optical-to-IR photometric and spectroscopic database in the southern hemisphere.