The present study aimed to analyze differences in the electroencephalogram (EEG) power spectrum (theta, alpha, and beta) between participants who won (winning group) and those who lost (losing group) in three different chess games: against their same Elo (100% chess games), 25% over their Elo (125% chess games), and 25% under their Elo (75% chess games). EEG was assessed at baseline and during the chess games. Method: 14 male chess players (age: 35.36 ± 13.77 and Elo: 1921 ± 170) played three games of 3 min, plus two additional seconds per move, while EEG was assessed. There were three difficulty levels (75%, 100%, and 125%), with two games (one with white pieces and another with black pieces) per level. The winning group showed higher theta power in the frontal, central, and posterior brain regions when difficulty increased (p-value < 0.05). Besides this, alpha power showed higher values (p-value < 0.05) in 125% games than in 75% chess games in C3, T3, T4, T5, and T6. The losing group showed a significant decrease (p-value < 0.05) in the beta and alpha power spectrum in frontal, central, parietotemporal, and occipital areas, when the opponent’s difficulty increased. Moreover, between groups, analyses showed higher theta power in the losing group than in the winning group, in C3, T5, T6, P4, and Pz (p-value < 0.05). Therefore, the winning group was able to adapt to each difficulty level, increasing theta power in the frontal, central, and posterior brain areas, as the efficiency hypothesis postulated. These changes were not observed in the losing group. Moreover, increases in alpha power during the most difficult games, in comparison with the easier, could have been caused by creative ideation and divergent thinking, as participants looked for alternative solutions against a higher-skilled opponent.