If all the eigenvalues of the Hermitian-adjacency matrix of a mixed graph are integers, then the mixed graph is called \emph{H-integral}. If all the eigenvalues of the (0,1)-adjacency matrix of a mixed graph are \emph{Gaussian integers}, then the mixed graph is called \emph{Gaussian integral}. For any finite group $Γ$, we characterize the set $S$ for which the normal mixed Cayley graph $\text{Cay}(Γ, S)$ is H-integral. We further prove that a normal mixed Cayley graph is H-integral if and only if it is Gaussian integral.