The mild cognitive impairment (MCI) stage plays an essential role in preventing the progression of older adults to Alzheimer's disease. In this study, neurofeedback training (NFT) is applied to improve MCI brain cognitive function. To assess the improvement effect, a novel algorithm called Weighted Multiple Multiscale Entropy (WMMSE) is proposed to extract and analyze the electroencephalogram (EEG) features of patients with MCI. To overcome the information loss problem of traditional multiscale entropy (MSE), WMMSE fully considered the correlation of the sequence and the contribution of each sequence to the total entropy. The experimental group composed of 39 patients with MCI was subjected to NFT for 10 days during two sessions. The control group included 21 patients with MCI without any intervention. The Lempel-Ziv complexity (LZC) was used for primary assessment, and WMMSE was used to accurately analyze the effect of NFT. The results show that the WMMSE values of F4, C3, C4, O1, and T5 channels post-NFT are higher compared with pre-NFT and significant differences (P < 0.05). Moreover, the cognitive subscale of the Montreal Cognitive Assessment (MoCA) results shows that the post-NFT score is higher than the pre-NFT in the vast majority of the patients with MCI and significant differences (P < 0.05). When compared with the control group, the WMMSE values of the experimental group increased in each channel. Therefore, the NFT intervention method contributes to brain cognitive functional recovery, and WMMSE can be used as a biomarker to evaluate the state of MCI brain cognitive function.