Background: With predicted increases in dementia incidence, interventions targeting neuroplasticity and neuroprotection are required. Cognitive Training (CT) is an intervention which has been shown to improve aspects of cognition, but the pathophysiological mechanisms contributing to its efficacy are unknown. Objective: We aimed to explore the neurobiological correlates of CT using Mismatch Negativity (MMN), a neurophysiological marker of pre-attentive information processing, which in turn, is postulated to underpin higher-order cognitive processes. Methods: As part of a larger randomized controlled trial, forty 'at risk' (i.e., mild cognitive impairment or late-life depression) participants aged 51-79 years underwent neurophysiological, neuropsychological, and psychiatric assessments before and after a multi-faceted seven-week CT program or a 'treatment-as-usual' seven-week waitlist period. Results: The treatment group demonstrated significantly increased fronto-central MMN responses (p < 0.05), as well as improved phonemic verbal fluency (p < 0.05) and decreased self-rated memory difficulties (p < 0.05) following CT, in comparison to the waitlist control group. However, there were no significant correlations between enhanced MMN and cognitive/psychosocial outcomes. Conclusions: Results from this preliminary investigation indicate that CT is associated with enhanced neurophysiological mechanisms suggestive of improved pre-attentive processing, which may reflect alterations in underlying neurobiology. Further research is warranted to confirm these findings, to explicate whether CT is associated with restorative or compensatory neuroplastic processes and to determine whether MMN is a useful biomarker for treatment response.