This paper discusses a large-scale neurofeedback study designed to explore the mechanisms underlying neurofeedback learning, using electroencephalography (EEG) and two different frequency bands. Participants were divided into two groups: one trained to enhance theta power (4–8 Hz) over Fz and the other to enhance sensorimotor rhythm (SMR, 12–15 Hz) over C4. The study involved ten training sessions, where participants also completed cognitive tasks to assess the impact of neurofeedback on decision-making, interference resolution, and impulsivity. Tasks included the simple response task, choice response task, Stroop tasks, Iowa gambling task, and the Balloon Analogue Risk Taking (BART) task. Interviews were conducted with participants at various points during the study, and diaries were kept to capture experiences. Previous work had not yet reported on the results of the BART or on the interviews. Whereas no impacts were found on the BART scores, the qualitative analysis of the interview demonstrated an experiential change across training sessions. This lends credence to the view that as neural learning unfolds, subjective experience changes, which in turn may facilitate neural learning. The study emphasizes the need for further exploration of neurofeedback’s cognitive effects embedded within a neurophenomenological research agenda.