This study investigated how different spectral and nonlinear EEG measures covaried with alpha power during auditory alpha biofeedback training, performed by 13 healthy subjects. We found a significant positive correlation of alpha power with the largest Lyapunov-exponent, pointing to an increased dynamical instability of the EEG accompanying alpha enhancement. Alpha power amplification, moreover, was significantly correlated with a decrease of spectral entropy within the alpha range. This outcome reflects a sharpening of the alpha peak during biofeedback training. The fact that the sharpening effect clearly preceded the increase of alpha amplitude could be exploited in future biofeedback settings.