Co-evolution of morphology and control is a powerful approach in robotics to study performance on a particular task, considering mechanical structure and control as a whole to accomplish a certain goal. Co-evolutionary methods have been used to study the effect of these two fundamental components, in particular when applied to locomotion and reaching tasks. The resulting robots are usually evolved in simulation for a particular static task, making it difficult to transfer the results to a real robotic system, where a certain controllability (beyond the scope of the particular task) is desired. In this work, we are interested in evolving a robot with an externally controllable behavior, in particular considering locomotion tasks. We investigate to what extent co-evolution can outperform the more traditional approach of evolving only the robot control. The locomotion behavior is evolved for a simulated quadruped robot, using a multi-objective evolutionary algorithm, considering speed and energy efficiency as the main objectives. Additionally, we introduce a third objective where we provide the robot with an external command indicating the robot locomotion direction, allowing us to steer the robot once it is evolved. The resulting quadrupedal robots show improved performance on the steering task when compared to robots where only control is evolved.