In this paper we present a framework to learn a model-free feedback controller for locomotion and balance control of a compliant quadruped robot walking on rough terrain. Having designed an open-loop gait encoded in a Central Pattern Generator (CPG), we use a neural network to repre- sent sensory feedback inside the CPG dynamics. This neural network accepts sensory inputs from a gyroscope or a camera, and its weights are learned using Particle Swarm Optimization (unsupervised learning). We show with a simulated compliant quadruped robot that our controller can perform significantly better than the open-loop one on slopes and randomized height maps.