We provide an early assessment of the imaging capabilities of the Euclid space mission to probe deeply into nearby star-forming regions and associated very young open clusters, and in particular to check to what extent it can shed light on the new-born free-floating planet population. This paper focuses on a low-reddening region observed in just one Euclid pointing where the dust and gas has been cleared out by the hot sigma Orionis star. One late-M and six known spectroscopically confirmed L-type substellar members in the sigma Orionis cluster are used as benchmarks to provide a high-purity procedure to select new candidate members with Euclid. The exquisite angular resolution and depth delivered by the Euclid instruments allow us to focus on bona-fide point sources. A cleaned sample of sigma Orionis cluster substellar members has been produced and the initial mass function (IMF) has been estimated by combining Euclid and Gaia data. Our sigma Orionis substellar IMF is consistent with a power-law distribution with no significant steepening at the planetary-mass end. No evidence of a low-mass cutoff is found down to about 4 Jupiter masses at the young age (3 Myr) of the sigma Orionis open cluster.