Phase retrieval and the twin-image problem in digital in-line holographic microscopy can be resolved by iterative reconstruction routines. However, recovering the phase properties of an object in a hologram requires an object plane to be chosen correctly for reconstruction. In this work, we present a novel multi-wavelength iterative algorithm to determine the object plane using single-shot holograms recorded at multiple wavelengths in an in-line holographic microscope. Using micro-sized objects, we verify the object positioning capabilities of the method for various shapes and derive the phase information using synthetic and experimental data. Experimentally, we built a compact digital in-line holographic microscopy setup around a standard optical microscope with a regular RGB-CCD camera and acquired holograms of micro-spheres, E. coli, and red blood cells, which are illuminated using three lasers operating at 491 nm, 532 nm, and 633 nm, respectively. We demonstrate that our method provides accurate object plane detection and phase retrieval under noisy conditions, e.g., using low-contrast holograms with an inhomogeneous background. This method allows for automatic positioning and phase retrieval suitable for holographic particle velocimetry, and object tracking in biophysical or colloidal research.