The main objective of this structural magnetic resonance imaging (MRI) study was to investigate, using diffusion tensor imaging, whether a neurofeedback training (NFT) protocol designed to improve sustained attention might induce structural changes in white matter (WM) pathways, purportedly implicated in this cognitive ability. Another goal was to examine whether gray matter (GM) volume (GMV) might be altered following NFT in frontal and parietal cortical areas connected by these WM fiber pathways. Healthy university students were randomly assigned to an experimental group (EXP), a sham group, or a control group. Participants in the EXP group were trained to enhance the amplitude of their β1 waves at F4 and P4. Measures of attentional performance and MRI data were acquired one week before (Time 1) and one week after (Time 2) NFT. Higher scores on visual and auditory sustained attention were noted in the EXP group at Time 2 (relative to Time 1). As for structural MRI data, increased fractional anisotropy was measured in WM pathways implicated in sustained attention, and GMV increases were detected in cerebral structures involved in this type of attention. After 50 years of research in the field of neurofeedback, our study constitutes the first empirical demonstration that NFT can lead to microstructural changes in white and gray matter.