The optoelectronic oscillator (OEO) has been widely investigated to generate ultra-pure single-frequency microwave signals. In this study, we propose and experimentally demonstrate an active mode-locking optoelectronic oscillator (AML-OEO), which can generate broadband microwave frequency comb (MFC) signals. An additional intensity modulator is inserted into the OEO as an active mode-locking device for loss modulation to realize phase-locking between adjacent oscillation modes. Through the active mode-locking technique, steady multi-mode oscillation is achieved, which is difficult to realize in a conventional OEO due to the mode-competition effect. By tuning the frequency of the active modulation signal (AMS), both fundamental and harmonic AML-OEOs can be established. In the experiments, MFC signals with a frequency spacing of 195 kHz and 50.115/100.035 MHz are generated with fundamental and harmonic AML-OEOs.