Neurofeedback-guided motor imagery training (NF-MIT) has been suggested as a promising therapy for stroke-induced motor impairment. Whereas much NF-MIT research has aimed at signal processing optimization, the type of sensory feedback given to the participant has received less attention. Often the feedback signal is highly abstract and not inherently coupled to the mental act performed. In this study, we asked whether an embodied feedback signal is more efficient for neurofeedback operation than a non-embodiable feedback signal. Inspired by the rubber hand illusion, demonstrating that an artificial hand can be incorporated into one's own body scheme, we used an anthropomorphic robotic hand to visually guide the participants' motor imagery act and to deliver neurofeedback. Using two experimental manipulations, we investigated how a participant's neurofeedback performance and subjective experience were influenced by the embodiability of the robotic hand, and by the neurofeedback signal's validity. As pertains to embodiment, we found a promoting effect of robotic-hand embodiment in subjective, behavioral, electrophysiological and electrodermal measures. Regarding neurofeedback signal validity, we found some differences between real and sham neurofeedback in terms of subjective and electrodermal measures, but not in terms of behavioral and electrophysiological measures. This study motivates the further development of embodied feedback signals for NF-MIT.