Post-COVID syndrome manifests with numerous neurological and cognitive symptoms, the precise origins of which are still not fully understood. As females and older adults are more susceptible to developing this condition, our study aimed to investigate how post-COVID syndrome alters intrinsic brain dynamics in older adults and whether biological sex and cognitive training might modulate these effects, with a specific focus on older females. The participants, aged between 60 and 75 years, were divided into three experimental groups: healthy old female, post-COVID old female and post-COVID old male. They underwent an adaptive task-switching training protocol. We analysed multiscale entropy and spectral power density of resting-state EEG data collected before and after the training to assess neural signal complexity and oscillatory power, respectively. We found no difference between post-COVID females and males before training, indicating that post-COVID similarly affected both sexes. However, cognitive training was effective only in post-COVID females and not in males, by modulating local neural processing capacity. This improvement was further evidenced by comparing healthy and post-COVID females, wherein the latter group showed increased finer timescale entropy (1-30 ms) and higher frequency band power (11-40 Hz) before training, but these differences disappeared following cognitive training. Our results suggest that in older adults with post-COVID syndrome, there is a pronounced shift from more global to local neural processing, potentially contributing to accelerated neural aging in this condition. However, cognitive training seems to offer a promising intervention method for modulating these changes in brain dynamics, especially among females.