Selective attention can be a useful tactic for speech-in-noise (SiN) interpretation as it strengthens cortical responses to attended sensory inputs while suppressing others. This cortical process is referred to as attentional modulation. Our earlier study showed that a neurofeedback training paradigm was effective for improving the attentional modulation of cortical auditory evoked responses. However, it was unclear how such neurofeedback training improved attentional modulation. This paper attempts to unveil what neural mechanisms underlie strengthened auditory selective attention during the neurofeedback training paradigm. Our EEG time–frequency analysis found that, when spatial auditory attention was focused, a fronto-parietal brain network was activated. Additionally, the neurofeedback training increased beta oscillation, which may imply top-down processing was used to anticipate the sound to be attended selectively with prior information. When the subjects were attending to the sound from the right, they exhibited more alpha oscillation in the right parietal cortex during the final session compared to the first, indicating improved spatial inhibitory processing to suppress sounds from the left. After the four-week training period, the temporal cortex exhibited improved attentional modulation of beta oscillation. This suggests strengthened neural activity to predict the target. Moreover, there was an improvement in the strength of attentional modulation on cortical evoked responses to sounds. The Placebo Group, who experienced similar attention training with the exception that feedback was based simply on behavioral accuracy, did not experience these training effects. These findings demonstrate how neurofeedback training effectively improves the neural mechanisms underlying auditory selective attention.