The transient X-ray accreting millisecond pulsar XTE J1807-294 was observed during its February/March 2003 outburst by INTEGRAL, partly simultaneously with the XMM-Newton and RXTE satellites. We present here the first study of the 0.5-200 keV broad-band spectra of the source. On February 28, the source spectrum was consistent with thermal Comptonization by electrons of temperature ~40 keV, considerably higher than the value (~10 keV) previously derived from the low energy XMM-Newton data alone. The source is detected by INTEGRAL up to 200 keV with a luminosity in the energy band (0.1-200) keV of 1.3 × 1037 erg s-1 (assuming a distance of 8 kpc). 22 days later the luminosity dropped to 3.6 × 1036 erg s-1. A re-analysis of XMM-Newton data yields the orbital Doppler variations of the pulse period and refines the previous ephemeris. For this source, with shortest orbital period of any known binary radio or X-ray millisecond pulsar, we constrain the companion mass Mc < 0.022~M☉, assuming minimum mass transfer driven by gravitational radiation. Only evolved dwarfs with a C/O composition are consistent with the Roche lobe and gravitational radiation constraints, while He dwarfs require an unlikely low inclination.
