When I printed response.read() I noticed that b was preprended to the string (e.g. b'{"a":1,..). The "b" stands for bytes and serves as a declaration for the type of the object you're handling. Since, I knew that a string could be converted to a dict by using json.loads('string'), I just had to convert the byte type to a string type. I did this by decoding the response to utf-8 decode('utf-8'). Once it was in a string type my problem was solved and I was easily able to iterate over the dict.
I don't know if this is the fastest or most 'pythonic' way of writing this but it works and theres always time later of optimization and improvement! Full code for my solution:
from urllib.request import urlopen
import json
# Get the dataset
url = 'http://www.quandl.com/api/v1/datasets/FRED/GDP.json'
response = urlopen(url)
# Convert bytes to string type and string type to dict
string = response.read().decode('utf-8')
json_obj = json.loads(string)
print(json_obj['source_name']) # prints the string with 'source_name' key