The human brain is a complex network in which hundreds of brain regions are interconnected via thousands of axonal pathways. The capability of such a complex system emerges from specific interactions among smaller entities, a set of events that can be described by the activation of interconnections between brain areas. Studies that focus on brain connectivity have the aim of understanding and modeling brain function, taking into account the spatiotemporal dynamics of neural communication between brain regions. Much of the current knowledge regarding brain connectivity has been obtained from stand-alone neuroimaging methods. Nevertheless, the use of a multimodal approach seems to be a powerful way to investigate effective brain connectivity, overcoming the limitations of unimodal approaches. In this review, we will present the advantages of an integrative approach in which transcranial magnetic stimulation–electroencephalography coregistration is combined with magnetic resonance imaging methods to explore effective neural interactions. Moreover, we will describe possible implementations of the integrative approach in open- and closed-loop frameworks where real-time brain activity becomes a contributor to the study of cognitive brain networks.