Auditory neurofeedback (ANF) utilizes sound to map brain activity in real-time, guiding individuals to self-regulate neural states via operant conditioning. Compared to visual neurofeedback, ANF offers distinct advantages in millisecond-level response speed and non-visual dependency, significantly enhancing ecological validity and reducing visual fatigue. This paper reviews the physiological basis, signal processing workflows, and three typical experimental paradigms of ANF: threshold regulation, parameter modulation, and state-dependent triggering. Furthermore, it discusses current applications in neurorehabilitation, psychiatric treatment, sports medicine, and auditory cognitive screening. Finally, the paper analyzes challenges regarding mechanistic evidence and parameter standardization, and prospects future trends such as ear electroencephalography-based portable design and multimodal fusion, providing theoretical insights for clinical translation.