Sub-threshold depression refers to a psychological sub-health state that fails to meet the diagnostic criteria for depression. Appropriate intervention can improve the state and reduce the risks of disease development. In this paper, we focus on music neurofeedback stimulation improving emotional state of sub-threshold depression college students.Twenty-four college students with sub-threshold depression participated in the experiment, 16 of whom were members of the experimental group. Decompression music based on spectrum classification was applied to 16 experimental group participants for 10 min/d music neural feedback stimulation with a period of 14 days, and no stimulation was applied to 8 control group participants. Three feature parameters of electroencephalogram (EEG) relative power, sample entropy and complexity were extracted for analysis. The results showed that the relative power of α、β and θ rhythm increased, while δ rhythm decreased after the stimulation of musical nerofeedback in the experimental group. The sample entropy and complexity were significantly increased after the stimulation, and the differences of these parameters pre and post stimulation were statistically significant (P < 0.05), while the differences of all feature parameters in the control group were not statistically significant. In the experimental group, the scores of self-rating depression scale(SDS) decreased after the stimulation of musical nerofeedback, indicating that the depression was improved. The result of this study showed that music neurofeedback stimulation can improve sub-threshold depression and may provides an effective new way for college students to self-regulation of emotion.