Electroencephalography (EEG) neurofeedback (NF) training has been shown to produce long-lasting effects on the improvement of cognitive function as well as the normalization of aberrant brain activity in disease. However, the impact of the sensory modality used as the NF reinforcement signal on training effectiveness has not been systematically investigated. In this work, an EEG-based NF-training system was developed targeting the individual upper-alpha (UA) band and using either a visual or an auditory reinforcement signal, so as to compare the effects of the two sensory modalities. Sixteen healthy volunteers were randomly assigned to the Visual or Auditory group, where a radius-varying sphere or a volume-varying sound, respectively, reflected the relative amplitude of UA measured at EEG electrode Cz. Each participant underwent a total of four NF sessions, of approximately 40 min each, on consecutive days. Both groups showed significant increases in UA at Cz within sessions, and also across sessions. Effects subsequent to NF training were also found beyond the target frequency UA and scalp location Cz, namely in the lower-alpha and theta bands and in posterior brain regions, respectively. Only small differences were found on the EEG between the Visual and Auditory groups, suggesting that auditory reinforcement signals may be as effective as the more commonly used visual signals. The use of auditory NF may potentiate training protocols conducted under mobile conditions, which are now possible due to the increasing availability of wireless EEG systems.