Intensity-dependent amplitude changes (IDAP) have been extensively studied using event-related potentials (ERPs) and have been linked to several psychiatric disorders. This study aims to explore the application of functional near-infrared spectroscopy (fNIRS) in IDAP paradigms, which related to ERPs could indicate the existence of neurovascular coupling. Thirty-three and thirty-one subjects participated in two experiments, respectively. The first experiment consisted of the presentation of three-tone intensities (77.9 dB, 84.5 dB, and 89.5 dB) lasting 500 ms, each type randomly presented 54 times, while the second experiment consisted of the presentation of five-tone intensities (70.9 dB, 77.9 dB, 84.5 dB, 89.5 dB, and 94.5 dB) in trains of 8 tones lasting 70 ms each tone, the trains were presented 20 times. EEG was used to measure ERP components: N1, P2, and N1–P2 peak-to-peak amplitude. fNIRS allowed the analysis of the hemodynamic activity in the auditory, visual, and prefrontal cortices. The results showed an increase in N1, P2, and N1–P2 peak-to-peak amplitude with auditory intensity. Similarly, oxyhemoglobin and deoxyhemoglobin concentrations showed amplitude increases and decreases, respectively, with auditory intensity in the auditory and prefrontal cortices. Spearman correlation analysis showed a relationship between the left auditory cortex with N1 amplitude, and the right dorsolateral cortex with P2 amplitude, specifically for deoxyhemoglobin concentrations. These findings suggest that there is a brain response to auditory intensity changes that can be obtained by EEG and fNIRS, supporting the neurovascular coupling process. Overall, this study enhances our understanding of fNIRS application in auditory paradigms and highlights its potential as a complementary technique to ERPs.