We report on the identification of the X/soft gamma-ray source AX J183039-1002 detected with ASCA and INTEGRAL/IBIS. The source, which has an observed 20-100 keV flux of about 8.6 x 10^-11 erg/cm^2/s, is inside a diffuse radio supernova remnant (SNR) and is spatially coincident with a compact radio source. We analyzed archival Chandra and XMM-Newton observations in order to identify the ASCA/INTEGRAL source. A point-like Chandra X-ray object was found to be positionally coincident with the compact radio source and within the error circle of the ASCA and INTEGRAL sources. Although the association of a compact radio/X-ray source with a radio supernova remnant could be indicative of a pulsar wind nebula (PWN), the XMM-Newton X-ray spectrum is compatible with an absorbed, Seyfert-2 like AGN, since it provides evidence for an iron emission line of about 1 keV equivalent width; furthermore the X-ray source spectrum is similar to that of other Compton thick AGN where the <2 keV data are associated to a warm reflector and the >10 keV one to a cold reflector.