(1) Background: Previous studies showed that neurofeedback and biofeedback could improve stress levels, enhance self-control over physiological factors, improve behavioral efficiency, and increase reaction speed to stimuli. Specifically, the sensorimotor rhythm stimulation (12–15 Hz) can enhance cognitive functions such as selective attention and working memory. However, there is no study that analyzes the effect of these interventions in chess players. (2) Methods: A Chess Woman Grandmaster and Chess International Master, with an ELO ranking higher than 2350 points, was selected to participate in this case study. The participant conducted a total of 14 sessions of biofeedback and neurofeedback, training in breathing, sensorimotor rhythm stimulation in Cz, skin conductance, temperature, and heart rate variability combined with chess work. Specific and non-specific tasks were designed to evaluate the intervention. (3) Results: The chess player enhanced the heart rate variability during specific and non-specific chess tasks: chess problems, 15 + 10 games, and puzzle rush games. In addition, the sensorimotor rhythm power decreased during the chess problem and increased during the 15 + 10 game and puzzle rush. Also, chess performance and anxiety levels improved after the intervention. (4) Conclusions: Neurofeedback and biofeedback training combined with chess training could improve the performance of chess players.