Conditioning of the upper-alpha rhythm to improve cognitive performance in healthy users by means of neurofeedback (NF) has been evaluated by several studies, however its effectiveness in people with severe cognitive deficits, such as depressive subjects, remains underexplored. This paper reports on a preliminary uncontrolled study to assess the effects of an upper-alpha NF intervention on patients with major depressive disorder (MDD). The NF effects on the EEG and cognitive performance were assessed. The EEG results showed that patients were able to modulate the upper-alpha rhythm in task-related EEG and during training, in both cases across the executions of the NF sessions, and pre and post within each session. The behavioral results showed the effectiveness of this intervention in a variety of cognitive functions such as working memory, attention, and executive functions.