Purpose of Review: This review provides an overview of current knowledge and understanding of EEG Neurofeedback for anxiety disorders and post-traumatic stress disorders. Recent Findings: The manifestations of anxiety disorders and post-traumatic stress disorders (PTSD) are associated with dysfunctions of neurophysiological stress axes and brain arousal circuits, which are important dimensions of the research domain criteria (RDoC). Even if the pathophysiology of these disorders is complex, one of its defining signatures is behavioral and physiological over-arousal. Interestingly, arousal-related brain activity can be modulated by electroencephalogram-based neurofeedback (EEG NF), a non-pharmacological and noninvasive method that involves neurocognitive training through a brain-computer interface (BCI). EEG NF is characterized by a simultaneous learning process where both patient and computer are involved in modifying neuronal activity or connectivity, thereby improving associated symptoms of anxiety and/or over-arousal. Summary: Positive effects of EEG NF have been described for both anxiety disorders and PTSD, yet due to a number of methodological issues, it remains unclear whether symptom improvement is the direct result of neurophysiological changes targeted by EEG NF. Thus, in this work we sought to bridge current knowledge on brain mechanisms of arousal with past and present EEG NF therapies for anxiety and PTSD. In a nutshell, we discuss the neurophysiological mechanisms underlying the effects of EEG NF in anxiety disorder and PTSD, the methodological strengths/weaknesses of existing EEG NF randomized-controlled trials (RCTs) for these disorders, and the neuropsychological factors that may impact NF training success.