Context. Observations indicate a strong link between star formation and black hole (BH) growth, but some questions remain unanswered: whether both activities are coeval or whether one precedes the other, what their characteristic timescales are, and what kinds of physical processes are responsible for this interplay. Aims. We examine stellar and BH masses (M_star and M_BH) in z~2 active systems at the peak of their AGN or star formation activity to investigate how they are linked and whether AGN radiative or else radio power provides a feedback mechanism that regulates the stellar growth in these systems. Methods. We analyze the infrared (IR) spectral energy distributions of radio, sub-millimeter and mid-IR selected AGNs at z~1-3 and constrain their stellar and AGN luminosities using AGN and host-galaxy templates. Results. We find evidence of increasing stellar light, thereby decreasing the AGN mid-IR power going from mid-IR selected AGNs, to radio galaxies, and to sub-millimeter AGNs. This trend can be explained by either decreasing Eddington ratios or increasing offsets from the local M_BH-M_star relation. All systems are characterized by high star formation rates regardless of their different AGN powers, thus neither AGN radiative power nor AGN-driven radio activity seems to influence the star formation rate in the selected AGNs. We discuss two possible evolutionary scenarios that might link these three AGN classes.