The study was focused on the features of spectral characteristics of the EEG alpha and theta ranges in the military academy cadets undergoing specific training to improve cold resistance (cold exposure training). The study was aimed to assess the impact of the military academy cadets’ incremental exposure to the graduated cold stress (cold exposure training) on spectral characteristics of the EEG alpha and theta rhythms. Students of the civil higher educational institution and military academy cadets were assessed (58 individuals in total). Cadets underwent a specific program focused on improving cold resistance (cold exposure training). Background EEG in the alpha and theta frequency ranges was recorded. Statistical data processing involved nonparametric comparison using the Mann–Whitney U test. The results were obtained suggesting that there were significant differences in spectral characteristics of alpha and theta rhythms between the group of foreign cadets and the controls. The cold exposure training program was effective in the group of Russian cadets, which had an effect on the cerebral homeostasis stability with some degree of instability of neurodynamic processes in the CNS. In foreign cadets, regular cold exposure training resulted in the pronounced disintegration of cortical-subcortical and intracortical interactions, as well as in the formation of binary alpha-theta structure of background EEG.