It runs from Frederiksberg Allé in the south to Gammel Kongevej in the north, linking Kingogade with H. C. Ørstedsvej.
The street takes its name after Alhambra, a now demolished 19th-century entertainment complex which was located on its east side.
The venture was never a commercial success, partly because of the distance from the city centre and the lack of street lighting in the evening.
[1] The street was laid out when the entertainment venue closed and was officially named on 4 August 1870.
Built in 1906–08 to designs by Henrik Hagemann and E. Stegmann, it is one of few examples of the Jugendstil in Frederiksberg.