The effects of robotic-assisted gait (RAG) training, besides conventional therapy, on neuroplasticity mechanisms and cortical integration in locomotion are still uncertain. To advance our knowledge on the matter, we determined the involvement of motor cortical areas in the control of muscle activity in healthy subjects, during RAG with Lokomat, both with maximal guidance force (100 GF—passive RAG) and without guidance force (0 GF—active RAG) as customary in rehabilitation treatments. We applied a novel cortico-muscular connectivity estimation procedure, based on Partial Directed Coherence, to jointly study source localized EEG and EMG activity during rest (standing) and active/passive RAG. We found greater cortico-cortical connectivity, with higher path length and tendency toward segregation during rest than in both RAG conditions, for all frequency bands except for delta. We also found higher cortico-muscular connectivity in distal muscles during swing (0 GF), and stance (100 GF), highlighting the importance of direct supraspinal control to maintain balance, even when gait is supported by a robotic exoskeleton. Source-localized connectivity shows that this control is driven mainly by the parietal and frontal lobes. The involvement of many cortical areas also in passive RAG (100 GF) justifies the use of the 100 GF RAG training for neurorehabilitation, with the aim of enhancing cortical-muscle connections and driving neural plasticity in neurological patients.