The American cockroach, Periplaneta americana, provides a successful model for the study of legged locomotion. Sensory regulation and the relative importance of sensory feedback vs. central control in animal locomotion are key aspects in our understanding of locomotive behavior. Here we introduce the cockroach model and describe the basic characteristics of the neural generation and control of walking and running in this insect. We further provide a brief overview of some recent studies, including mathematical modeling, which have contributed to our knowledge of sensory control in cockroach locomotion. We focus on two sensory mechanisms and sense organs, those providing information related to loading and unloading of the body and the legs, and leg-movement-related sensory receptors, and present evidence for the instrumental role of these sensory signals in inter-leg locomotion control. We conclude by identifying important open questions and indicate future perspectives.