This study examined the effect of an asynchronous heart rate variability biofeedback (HRV-BFBasync) protocol on national-level adolescent swimmers' cognitive appraisals and recovery-stress states during a six-week ecological training period. A polynomial mixed-effects multilevel regression analysis approach was used with 27 adolescent national-level swimmers randomly assigned to an intervention group (n = 14) and a control group (n = 13). Six waves of assessments of cognitive appraisals and recovery-stress states were completed during six weeks of training preparation in ecological conditions. The results revealed that the HRV-BFBasync protocol significantly predicts lower levels of biopsychosocial stress states and cognitive stress. However, no significant effects were found for biopsychosocial recovery scales and cognitive perceived control. The results suggested that total stress states, sport-specific stress, and cognitive perceived stress evolutions are a function of polynomial time third-degree interactions with HRV-BFB protocol. Overall, this study suggested that the HRV-BFBasync protocol leads adolescent athletes to experience lower biopsychosocial and cognitive stress levels during training periodization. Our results also suggest that HRV-BFB induces complex evolutions over time for stress and recovery states but does not have a predictive function for the recovery states and perceived control.