Frontal asymmetric activation has been proposed to be the underlying mechanism for depression. Some case studies have reported that the enhancement of a relative right frontal alpha activity by an asymmetry neurofeedback training leads to improvement in depressive symptoms. In the present study, we examined whether a neurofeedback training designed to increase the relative activity of the right frontal alpha band would have an impact on symptoms of depressive subjects suffering from emotional, behavioral, and cognitive problems. Our results indicated that the asymmetry neurofeedback training increased the relative right frontal alpha power, and it remained effective even after the end of the total training sessions. In contrast to the training group, the placebo control group did not show a difference. The neurofeedback training had profound effects on emotion and cognition. First, we replicated earlier findings that enhancing the left frontal activity led to alleviation of depressive symptoms. Moreover, cognitive tests revealed that the asymmetry training improved performance of executive function tests, whereas the placebo treatment did not show improvement. We preliminarily concluded that the asymmetry training is important for controlling and regulating emotion, and it may facilitate the left frontal lobe function.