Context: Extremely metal-poor stars (EMP) are very rare objects that hold in their atmospheres the fossil record of the chemical composition of the early phases of Galactic evolution. Finding these objects and determining their chemical composition provides important constraints on these early phases. Aims: Using a carefully designed selection method, we chose a sample of candidate EMP stars from the low resolution spectra of the Sloan Digital Sky Survey and observed them with X-Shooter at the VLT to confirm their metallicities and determine abundances for as many elements as possible. Method: The X-Shooter spectra are analysed by means of one-dimensional, plane-parallel, hydrostatic model atmospheres. Corrections for the granulation effects are computed using CO5BOLD hydrodynamical simulations. Results: All the candidates are confirmed to be EMP stars, proving the efficiency of our selection method within about 0.5 dex. The chemical composition of this sample is compatible with those of brighter samples, suggesting that the stars in the Galactic halo are well mixed. Conclusions These observations show that it is feasible to observe, in a limited amount of time, a large sample of about one hundred stars among EMP candidates selected from the SDSS. Such a size of sample will allow us, in particular, to confirm or refute the existence of a vertical drop in the Galactic Halo metallicity distribution function around [Fe/H] ~ -3.5.