The neuromodulation induced by neurofeedback training (NFT) remains a matter of debate. Investigating the modulation of brain activity specifically associated with NF requires controlling for multiple factors, such as reward, performance, congruency between task and targeted brain activity. This can be achieved using sham feedback (FB) control condition, equating all aspects of the experiment but the link between brain activity and FB. We aimed at investigating the modulation of individual alpha EEG activity induced by NFT in a double-blind, randomized, sham-controlled study. Forty-eight healthy participants were assigned to either NF (n = 25) or control (n = 23) group and performed alpha upregulation training (over 12 weeks) with a wearable EEG device. Participants of the NF group received FB based on their individual alpha activity. The control group received the auditory FB of participants of the NF group. An increase of alpha activity across training sessions was observed in the NF group only (p < 0.001). This neuromodulation was selective in that there was no evidence for similar effects in the theta (4-8 Hz) and low beta (13-18 Hz) bands. While alpha upregulation was found in the NF group only, psychological outcome variables showed overall increased feeling of control, decreased anxiety level and increased relaxation feeling, without any significant difference between the NF and the control groups. This is interpreted in terms of learning context and placebo effects. Our results pave the way to self-learnt, NF-based neuromodulation with light-weighted, wearable EEG systems.