We present a proper motion investigation of a sample of Be star candidates towards the Magellanic Clouds, which has resulted in the identification of separate populations, in the Galactic foreground and in the Magellanic background. Be stars are broadly speaking B-type stars that have shown emission lines in their spectra. In this work, we studied a sample of 2446 and 1019 Be star candidates towards the Large Magellanic Cloud (LMC) and Small Magellanic Cloud (SMC), respectively, taken from the literature and proposed as possible Be stars due to their variability behaviour in the OGLE-II I band. JHKs magnitudes from the InfraRed Survey Facility catalogue and proper motions from the Southern Proper Motion 4 catalogue were obtained for 1188 and 619 LMC and SMC Be stars candidates, respectively. Colour-colour and vector-point diagrams were used to identify different populations amongst the Be star candidates. In the LMC sample, two populations with distinctive infrared colours and kinematics were found, the bluer sample is consistent with being in the LMC and the redder one with belonging to the Milky Way disc. This settles the nature of the redder sample that had been described in previous publications as a possible unknown subclass of stars amongst the Be candidates in the LMC. In the SMC sample, a similar but less evident result was obtained, since this apparent unknown subclass was not seen in this galaxy. We confirm that in the selection of Be stars by their variability, although generally successful, there is a higher risk of contamination by Milky Way objects towards redder B-V and V-I colours.