Neurofeedback training is a technique which has seen a widespread use in clinical applications, but has only given its first steps in the sport environment. Therefore, there is still little information about the effects that this technique might have on parameters, which are relevant for athletes’ health and performance, such as heart rate variability, which has been linked to physiological recovery. In the sport domain, no studies have tried to understand the effects of neurofeedback training on heart rate variability, even though some studies have compared the effects of doing neurofeedback or heart rate biofeedback training on performance. The main goal of the present study was to understand if alpha-band neurofeedback training could lead to increases in heart rate variability. 30 male student-athletes, divided into two groups, (21.2 ± 2.62 year 2/week protocol and 22.6 ± 1.1 year 3/week protocol) participated in the study, of which three subjects were excluded. Both groups performed a pre-test, a trial session and 12 neurofeedback sessions, which consisted of 25 trials of 60 s of a neurofeedback task, with 5 s rest in-between trials. The total neurofeedback session time for each subject was 300 min in both groups. Throughout the experiment, electroencephalography and heart rate variability signals were recorded. Only the three sessions/week group revealed significant improvements in mean heart rate variability at the end of the 12 neurofeedback sessions (p = 0.05); however, significant interaction was not found when compared with both groups. It is possible to conclude that neurofeedback training of individual alpha band may induce changes in heart rate variability in physically active athletes.