Recent theoretical works have characterized the dynamics of wide shallow neural networks trained via gradient descent in an asymptotic mean-field limit when the width tends towards infinity. At initialization, the random sampling of the parameters leads to deviations from the mean-field limit dictated by the classical Central Limit Theorem (CLT). However, since gradient descent induces correlations among the parameters, it is of interest to analyze how these fluctuations evolve. In this work, we derive a dynamical CLT to prove that the asymptotic fluctuations around the mean limit remain bounded in mean square throughout training. The upper bound is given by a Monte-Carlo resampling error, with a variance that depends on the 2-norm of the underlying measure, which also controls the generalization error. This motivates the use of this 2-norm as a regularization term during training. Furthermore, if the mean-field dynamics converges to a measure that interpolates the training data, we prove that the asymptotic deviation eventually vanishes in the CLT scaling. We also complement these results with numerical experiments.