Brain-computer interfaces have been a novel approach to translate human intentions into movement commands in robotic systems. This paper describes an electroencephalogram-based brain-controlled lower-limb exoskeleton for gait training, as a proof of concept towards rehabilitation with human-in-the-loop. Instead of using conventional single electroencephalography correlates, e.g., evoked P300 or spontaneous motor imagery, we propose a novel framework integrated two asynchronous signal modalities, i.e., sensorimotor rhythms (SMRs) and movement-related cortical potentials (MRCPs). We executed experiments in a biologically inspired and customized lower-limb exoskeleton where subjects (N = 6) actively controlled the robot using their brain signals. Each subject performed three consecutive sessions composed of offline training, online visual feedback testing, and online robot-control recordings. Post hoc evaluations were conducted including mental workload assessment, feature analysis, and statistics test. An average robot-control accuracy of 80.16% ± 5.44% was obtained with the SMR-based method, while estimation using the MRCP-based method yielded an average performance of 68.62% ± 8.55%. The experimental results showed the feasibility of the proposed framework with all subjects successfully controlled the exoskeleton. The current paradigm could be further extended to paraplegic patients in clinical trials.