Aims.The development of powerful infrared observational techniques enables the study of very extincted objects and young embedded star-forming regions. This is especially interesting in the context of massive stars that form and spend a non negligible fraction of their life still enshrouded in their parental molecular cloud. Spectrophotometric calibrations are thus necessary to constrain the physical properties of heavily extincted objects. Methods: Here, we derive UBVJHK magnitudes and bolometric corrections from a grid of atmosphere models for O stars. Bessel passbands are used. Bolometric corrections (BC) are derived as a function of Teff and are subsequently used to derive BC -spectral type (ST) and absolute magnitudes- ST relations. Results: Infrared magnitudes and, for the first time, bolometric corrections are given for the full range of spectral types and luminosity classes. Infrared colors are essentially constant, and (H-K)0 is 0.05 mag bluer than previously proposed. Optical calibrations are also provided and are similar to previous work, except for (B-V)0 which is found to be at minimum -0.28 for standard O stars, slightly higher (0.04 mag) than commonly accepted. Conclusions: We present a consistent set of photometric calibrations of optical and infrared magnitudes and bolometric corrections for Galactic O stars as a function of Teff and spectral type based on non-LTE atmosphere models including winds and line-blanketing.