We present the first high-resolution X-ray spectrum of a prototypical Herbig star (AB Aurigae), measure and interpret various spectral features, and compare our results with model predictions. We use X-ray spectroscopy data from XMM-Newton. The spectra are interpreted using thermal, optically thin emission models with variable element abundances and a photoelectric absorption component. We interpret line flux ratios in He-like triplet of O VII as a function of electron density and the UV radiation field. We use the nearby co-eval classical T Tauri star SU Aur as a comparison. AB Aurigae reveals a soft X-ray spectrum, most plasma being concentrated at 1-6 MK. The He-like triplet reveals no signatures of increased densities and there are no clear indications for strong abundance anomalies. The light curve displays modulated variability, with a period of ~ 42 hr. It is unlikely that a nearby, undetected lower-mass companion is the source of the X-rays. Accretion shocks close to the star should be irradiated by the photosphere, leading to alteration in the He-like triplet fluxes of O VII, which we do not measure. Also, no indications for high densities are found, although the mass accretion rate is presently unknown. Emission from wind shocks is unlikely, given the weak radiation pressure. A possible explanation would be a solar-like magnetic corona. Magnetically confined winds provide a very promising alternative. The X-ray period is indeed close to periods previously measured in optical lines from the wind.