Mindfulness training (MT) has been shown to be effective at managing emotions and stress. However, the underlying neural mechanism of MT is yet unclear and attempts to explore the effects of MT on both psychological factors and performance outcomes remain unexplored. Physiological questionnaire, performance measures, and EEG-based Functional connectivity (FC) in the fronto-limbic network were analyzed in both the MT (N = 39) and control (N = 43) groups. Statistical analyses were conducted to evaluate group-wise differences, within-group longitudinal change, and sequential mediation effects. MT group maintained their stress coping capacity and demonstrated improved performance during the military training weeks. There was an increase in FC between the frontal and limbic regions in all frequency bands (i.e., delta, theta, alpha, and beta) in the MT group, yielding a higher FC than the control group in the final week. Furthermore, changes in these FC and changes in stress coping capacities played a sequential mediation role in the association between the MT and changes in military performance. This study demonstrated that MT was effective for military personnel under stressful conditions, in terms of managing stress coping capacity via changes in fronto-limbic FC, and improving task performance.