It is well established that locomotor patterns result from the interaction between central pattern generating networks in the nervous system, local feedback from sensory neurons about movements and forces generated in the locomotor organs, and coordinating signals from neighboring segments or appendages. This review addresses the issue of how the movements of multi-segmented locomotor organs are coordinated and provides an overview of recent advances in understanding sensory control and the internal organization of central pattern generating networks that operate multi-segmented locomotor organs, such as a walking leg. Findings from the stick insect and the cat are compared and discussed in relation to new findings on the lamprey swimming network. These findings support the notion that common schemes of sensory feedback are used for generating walking and that central neural networks controlling multi-segmented locomotor organs generally encompass multiple central pattern generating networks that correspond with the segmental structure of the locomotor organ.