Motor Imagery (MI)-based Brain-Computer Interfaces (BCIs) have been proposed for the rehabilitation of people with disabilities, being a big challenge their successful application to restore motor functions in individuals with Spinal Cord Injury (SCI). This work proposes an Electroencephalography (EEG) gait imagery-based BCI to promote motor recovery on the Lokomat platform, in order to allow a clinical intervention by acting simultaneously on both central and peripheral nervous mechanisms. As a novelty, our BCI system accurately discriminates gait imagery tasks during walking and further provides a multi-channel EEG-based Visual Neurofeedback (VNFB) linked to μ (8-12 Hz) and β (15-20 Hz) rhythms around Cz. VNFB is carried out through a cluster analysis strategy-based Euclidean distance, where the weighted mean MI feature vector is used as a reference to teach individuals with SCI to modulate their cortical rhythms. The developed BCI reached an average classification accuracy of 74.4%. In addition, feature analysis demonstrated a reduction in cluster variance after several sessions, whereas metrics associated with self-modulation indicated a greater distance between both classes: passive walking with gait MI and passive walking without MI. The results suggest that intervention with a gait MI-based BCI with VNFB may allow the individuals to appropriately modulate their rhythms of interest around Cz. This work contributes to the development of advanced systems for gait rehabilitation by integrating Machine Learning and neurofeedback techniques, to restore lower-limb functions of SCI individuals.