Recently, we reported an emotion self-regulation study (Zotev et al., 2020), in which patients with major depressive disorder (MDD) used simultaneous real-time fMRI and EEG neurofeedback (rtfMRI-EEG-nf) to upregulate two fMRI and two EEG activity measures, relevant to MDD. The target measures included fMRI activities of the left amygdala and left rostral anterior cingulate cortex, and frontal EEG asymmetries in the alpha band (FAA) and high-beta band (FBA). Here we apply the exact low resolution brain electromagnetic tomography (eLORETA) to investigate EEG source activities during the rtfMRI-EEG-nf procedure. The exploratory analyses reveal significant changes in hemispheric lateralities of upper alpha and high-beta current source densities in the prefrontal regions, consistent with upregulation of the FAA and FBA during the rtfMRI-EEG-nf task. Similar laterality changes are observed for current source densities in the amygdala. Prefrontal upper alpha current density changes show significant negative correlations with anhedonia severity. Changes in prefrontal high-beta current density are consistent with reduction in comorbid anxiety. Comparisons with results of previous LORETA studies suggest that the rtfMRI-EEG-nf training is beneficial to MDD patients, and may have the ability to correct functional deficiencies associated with anhedonia and comorbid anxiety in MDD.