Animal locomotion is the result of complex and multi-layered interactions between the nervous system, the musculo-skeletal system and the environment. Decoding the underlying mechanisms requires an integrative approach. Comparative experimental biology has allowed researchers to study the underlying components and some of their interactions across diverse animals. These studies have shown that locomotor neural circuits are distributed in the spinal cord, the midbrain and higher brain regions in vertebrates. The spinal cord plays a key role in locomotor control because it contains central pattern generators (CPGs) - systems of coupled neuronal oscillators that provide coordinated rhythmic control of muscle activation that can be viewed as feedforward controllers - and multiple reflex loops that provide feedback mechanisms. These circuits are activated and modulated by descending pathways from the brain. The relative contributions of CPGs, feedback loops and descending modulation, and how these vary between species and locomotor conditions, remain poorly understood. Robots and neuromechanical simulations can complement experimental approaches by testing specific hypotheses and performing what-if scenarios. This Review will give an overview of key knowledge gained from comparative vertebrate experiments, and insights obtained from neuromechanical simulations and robotic approaches. We suggest that the roles of CPGs, feedback loops and descending modulation vary among animals depending on body size, intrinsic mechanical stability, time required to reach locomotor maturity and speed effects. We also hypothesize that distal joints rely more on feedback control compared with proximal joints. Finally, we highlight important opportunities to address fundamental biological questions through continued collaboration between experimentalists and engineers.