Affective neurofeedback training allows for the self-regulation of the putative circuits of emotion regulation. This approach has recently been studied as a possible additional treatment for psychiatric disorders, presenting positive effects in symptoms and behaviors. After neurofeedback training, a critical aspect is the transference of the learned self-regulation strategies to outside the laboratory and how to continue reinforcing these strategies in non-controlled environments. In this mini-review, we discuss the current achievements of affective neurofeedback under naturalistic setups. For this, we first provide a brief overview of the state-of-the-art for affective neurofeedback protocols. We then discuss virtual reality as a transitional step toward the final goal of “in-the-wild” protocols and current advances using mobile neurotechnology. Finally, we provide a discussion of open challenges for affective neurofeedback protocols in-the-wild, including topics such as convenience and reliability, environmental effects in attention and workload, among others.