Recent experiments have shown that neural stimulation can successfully restore sensory feedback in upper-limb amputees improving their ability to control the prosthesis. However, the potential advantages of invasive sensory feedback with respect to non-invasive solutions have not been yet identified. Our hypothesis was that a difference would appear when the subject cannot focus all the attention to the use of the prosthesis, but some additional activities require his/her cognitive attention, which is a quite common situation in real-life conditions. To verify this hypothesis, we asked a trans-radial amputee, equipped with a bidirectional hand prosthesis, to perform motor tasks also in combination with a cognitive task. Sensory feedback was provided via intraneural (invasive) or electro-tactile (non-invasive) stimulation. We collected also data related to self-confidence. While both approaches were able to significantly improve the motor performance of the subject when no additional cognitive effort was asked, the manual accuracy was not affected by the cognitive task only when intraneural feedback was provided. The highest self-confidence was obtained when intraneural sensory feedback was provided. Our findings show that intraneural sensory feedback is more robust to dual tasks than non-invasive feedback. This is the first direct comparison between invasive and non-invasive approaches for restoring sensory feedback and it could suggest an advantage of using invasive solutions. Clinical Trial Registration: www.ClinicalTrials.gov, identifier NCT02848846.