The sense of embodiment (SoE) is an essential element of human perception that allows individuals to control and perceive the movements of their body parts. Brain–machine interface (BMI) technology can induce SoE in real time, and adding sensory feedback through various modalities has been shown to improve BMI control and elicit SoEe. In this study, we conducted a systematic review to study BMI performance in studies that integrated SoE variables and analyzed the contribution of single or multimodal sensory stimulation. Out of 493 results, only 20 studies analyzed the SoE of humans using BMIs. Analysis of these articles revealed that 40% of the studies relating BMIs with sensory stimulation and SoE primarily focused on manipulating visual stimuli, particularly in terms of coherence (i.e., synchronous vs. asynchronous stimuli) and realism (i.e., humanoid or robotic appearance). However, no study has analyzed the independent contributions of different sensory modalities to SoE and BMI performance. These results suggest that providing a detailed description of the outcomes resulting from independent and combined effects of different sensory modalities on the experience of SoE during BMI control may be relevant for the design of neurorehabilitation programs.