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(1) Background: Neurofeedback training (NFT) has emerged as a promising approach for enhancing cognitive functions and reducing anxiety, yet its specific impact on university student populations requires further investigation. This study aims to examine the effects of NFT on working memory improvement and anxiety reduction within this demographic. (2) Methods: A total of forty healthy university student volunteers were randomized into two groups: an experimental group that received NFT and a control group. The NFT protocol was administered using a 14-channel Emotiv Epoc X headset (EMOTIV, Inc., San Francisco, CA 94102, USA) and BrainViz software version Brain Visualizer 1.1 (EMOTIV, Inc., San Francisco, CA 94102, USA), focusing on the alpha frequency band to target improvements in working memory and reductions in anxiety. Assessment tools, including the Corsi Block and Memory Span tests for working memory and the State-Trait Anxiety Inventory-2 (STAI-2) for anxiety, were applied pre- and post-intervention. (3) Results: The findings indicated an increase in alpha wave amplitude in the experimental group from the second day of NFT, with statistically significant differences observed on days 2 (p < 0.05) and 8 (p < 0.01). Contrary to expectations based on the previous literature, the study did not observe a concurrent positive impact on working memory. Nonetheless, a significant reduction in state anxiety levels was recorded in the experimental group (p < 0.001), corroborating NFT's potential for anxiety management. (4) Conclusions: While these results suggest some potential of the technique in enhancing neural efficiency, the variability across different days highlights the need for further investigation to fully ascertain its effectiveness. The study confirms the beneficial impact of NFT on reducing state anxiety among university students, underscoring its value in psychological and cognitive performance enhancement. Despite the lack of observed improvements in working memory, these results highlight the need for continued exploration of NFT applications across different populations and settings, emphasizing its potential utility in educational and therapeutic contexts. [ABSTRACT FROM AUTHOR]