This pilot study examines the effect of heart rate variability (HRV) biofeedback on measures of electroencephalogram (EEG) during and immediately after biofeedback. Eighteen healthy males exposed to work-related stress, were randomised into an HRV biofeedback (BIO) or a comparative group (COM). EEG was recorded during the intervention and during rest periods before and after the intervention. Power spectral density in theta, alpha and beta frequency bands and theta/beta ratios were calculated. During the intervention, the BIO group had higher relative theta power [Fz and Pz (p < 0.01), Cz (p < 0.05)], lower fronto-central relative beta power (p < 0.05), and higher theta/beta [Fz and Cz (p < 0.01), Pz (p < 0.05)] than the COM group. The groups showed different responses after the intervention with increased posterior theta/beta (p < 0.05) in the BIO group and altered posterior relative theta (p < 0.05), central relative beta (p = 0.06) and central-posterior theta/beta (p < 0.01) in the post-intervention rest period. The findings of this study suggest that a single session of HRV biofeedback after a single training session was associated with changes in EEG suggestive of increased internal attention and relaxation both during and after the intervention. However, the comparative intervention was associated with changes suggestive of increased mental effort and possible anxiety during and after the intervention.