Research on sensorimotor rhythms (SMR) based on neurofeedback (NFb) emphasizes improvements in selective attention associated with SMR amplification. However, the long-term training proposed in most studies posed the question of acceptability, which led to the evaluation of the potential of a single NFb session. Based on cognitive and autonomic controls interfering with attention processes, we hypothesized changes in selective attention after a single SMR-NFb session, along with changes in brain–heart interplay, which are reflected in the multifractality of heartbeat dynamics. Here, young healthy participants (n = 35, 20 females, 21 ± 3 years) were randomly assigned either to a control group (Ctrl) watching a movie or to a neurofeedback (NFb) group performing a single session of SMR-NFb. A headset with EEG electrodes (positioned on C3 and C4) connected to a smartphone app served to guide and to evaluate NFb training efficacy. A Stroop task was performed for 8 min by each group before and after the intervention (movie vs. SMR-NFb) while collecting heart rate variability and C4-EEG for 20 min. When compared to Ctrl, the NFb group exhibited better Stroop performance, especially when facing incongruent trials. The multifractality and NFb training efficacy were identified as strong predictors of the gain in global Stroop performance, while multifractality was the only predictor regarding incongruent trials. We conclude that a single session of SMR-NFb improves selective attention in healthy individuals through the specific reorganization of brain–heart interplay, which is reflected in multifractal heartbeat dynamics.