The aim of this pilot study was to investigate the effects of an intervention consisting of mental coaching combined with either electro encephalogram (EEG) alpha power feedback or heart rate variability (HRV) feedback on HRV, EEG outcomes and self-reported factors related to stress, performance, recovery and sleep quality in elite athletes. A prospective pilot study was performed with two distinct cohorts. Soccer players were provided with four sessions of mental coaching combined with daily HRV biofeedback (Group A); track and field athletes were provided with four sessions of mental coaching in combination with daily neurofeedback (Group B). Measurements were performed at baseline, post intervention and at 5 weeks follow-up. Objective measures: EEG and ECG. Subjective measures: Numeric Rating Scale for performance, Pittsburgh Sleep Quality Index, Rest and Stress Questionnaire and Sports Improvement-60. Group characteristics were too distinct to compare the interventions. Linear mixed models were used to analyze differences within groups over time. In Group A, significant changes over time were present in alpha power at 5 of 7 EEG locations (p < 0.01–0.03). LF/HF ratio significantly increased (p = 0.02) and the concentration (p = 0.02) and emotional scale (p = 0.03) of the SIM-60 increased significantly (p = 0.04). In Group B, the HRV low frequency power and recovery scale of the REST-Q significantly increased (p = 0.02 and <0.01 resp.). Other measures remained stable or improved non-significantly. A mental coaching program combined with either HRV or EEG alpha power feedback may increase HRV and alpha power and may lead to better performance-related outcomes and stress reduction. Further research is needed to elucidate the effects of either type of feedback and to compare effects with a control group.