Balance and walking are fundamental to support common daily activities. Relatively accurate characterizations of normal and impaired gait features were attained at the kinematic and muscular levels. Conversely, the neural processes underlying gait dynamics still need to be elucidated. To shed light on gait‐related modulations of neural activity, we collected high‐density electroencephalography (hdEEG) signals and ankle acceleration data in young healthy participants during treadmill walking. We used the ankle acceleration data to segment each gait cycle in four phases: initial double support, right leg swing, final double support, left leg swing. Then, we processed hdEEG signals to extract neural oscillations in alpha, beta, and gamma bands, and examined event‐related desynchronization/synchronization (ERD/ERS) across gait phases. Our results showed that ERD/ERS modulations for alpha, beta, and gamma bands were strongest in the primary sensorimotor cortex (M1), but were also found in premotor cortex, thalamus and cerebellum. We observed a modulation of neural oscillations across gait phases in M1 and cerebellum, and an interaction between frequency band and gait phase in premotor cortex and thalamus. Furthermore, an ERD/ERS lateralization effect was present in M1 for the alpha and beta bands, and in the cerebellum for the beta and gamma bands. Overall, our findings demonstrate that an electrophysiological source imaging approach based on hdEEG can be used to investigate dynamic neural processes of gait control. Future work on the development of mobile hdEEG‐based brain–body imaging platforms may enable overground walking investigations, with potential applications in the study of gait disorders.