We propose that some of the high-latitude unidentified EGRET gamma-ray sources could be the result of gravitational lensing amplification of the innermost regions of distant, faint, active galactic nuclei. These objects have gamma-ray emitting regions small enough as to be affected by microlensing of stars in interposed galaxies. We compute the gravitational amplification taking into account effects of the host galaxy of the lens and prove that, whereas the innermost gamma-ray regions can be magnified up to thousand times, there is no amplification at radio frequencies, leading to the observed absence of strong counterparts. Some new effects in the spectral evolution of a gravitational microlensed gamma-ray AGN are predicted. Within a reasonable range of lensing parameters, and/or types of sources, both variable and non-variable EGRET detections at high latitudes can be explained by microlensing. The same phenomenon could also have an important incidence among the future GLAST detections at high-latitudes. Comment: Accepted for publication in The Astrophysical Journal. Scheduled to appear in April, 2002. 2 figures