Dolphin-Assisted Therapies (DAT) are alternative therapies aimed to reduce anxiety levels, stress relief and physical benefits. This paper is focused on measuring and analyzing dolphins brain activity when DAT is taking place in order to identify if there is any differences in female dolphin’s neuronal signal when it is interacting with control or intervention subjects, performing our research in Delfiniti, Ixtapa, Mexico facilities. We designed a wireless and portable electroencephalographic single-channel signal capture sensor to acquire and monitor the brain activity of a female bottle-nose dolphin. This EEG sensor was able to show that dolphin activity at rest is characterized by high spectral power at slow-frequencies bands. When the dolphin participated in DAT, a 23.53% increment in the 12–30 Hz frequency band was observed, but this only occurred for patients with some disease or disorder, given that 0.5–4 Hz band keeps it at 17.91% when there is a control patient. Regarding the fractal or Self-Affine Analysis, we found for all samples studied that at the beginning the dolphin’s brain activity behaved as a self-affine fractal described by a power-law until the fluctuations of voltage reached the crossovers, and after the crossovers these fluctuations left this scaling behavior. Hence, our findings validate the hypothesis that the participation in a DAT of a Patient with a certain disease or disorder modifies the usual behavior of a female bottle-nose dolphin.