To recognize the user’s motion intention, brain-machine interfaces (BMI) usually decode movements from cortical activity to control exoskeletons and neuroprostheses for daily activities. The aim of this paper is to investigate whether self-induced variations of the electroencephalogram (EEG) can be useful as control signals for an upper-limb exoskeleton developed by us. A BMI based on event-related desynchronization/synchronization (ERD/ERS) is proposed. In the decoder-training phase, we investigate the offline classification performance of left versus right hand and left hand versus both feet by using motor execution (ME) or motor imagery (MI). The results indicate that the accuracies of ME sessions are higher than those of MI sessions, and left hand versus both feet paradigm achieves a better classification performance, which would be used in the online-control phase. In the online-control phase, the trained decoder is tested in two scenarios (wearing or without wearing the exoskeleton). The MI and ME sessions wearing the exoskeleton achieve mean classification accuracy of 84.29% ± 2.11% and 87.37% ± 3.06%, respectively. The present study demonstrates that the proposed BMI is effective to control the upper-limb exoskeleton, and provides a practical method by non-invasive EEG signal associated with human natural behavior for clinical applications.