The ALHAMBRA survey has created a photometric database of 500,000+ objects in ~2.5 sqdeg, including data in 20+3 filters (3500-9700A + JHKs), down to AB~25 at 7000AA. We are exploiting our first internal catalogue to select AGNs based on the full color information. Here we present the potential of the ALHAMBRA photometry to select broad-line AGN and QSOs. The photo-z calibration with literature data (0 < z < 4) yields excellent results, with ~90% efficiency and <1% rms redshift error. Due to their importance in the early universe, we will also discuss its application to the particular case of very high (z>5) QSOs and present the GTC/OSIRIS spectra (taken on Sept. 2011) of a previously unknown QSO at -- z=5.5 -- selected in the ALHAMBRA fields. This confirmed redshift further validates our selection criteria and encourages the application of the method to select not only rare or exotic sources but also to classify the different types of galactic and extragalactic source populations.