Innovative research in the fields of prosthetic, neurorehabilitation, motor control and human physiology has been focusing on the study of proprioception, the sense through which we perceive the position and movement of our body, and great achievements have been obtained regarding its assessment and characterization. However, how proprioceptive signals are combined with other sensory modalities and processed by the central nervous system to form a conscious body image, is still unknown. Such a crucial question was addressed in this study, which involved 23 healthy subjects, by combining a robot-based proprioceptive test with a specific analysis of electroencephalographic activity (EEG) in the $\mu$ frequency band (8-12 Hz). We observed important activation in the motor area contralateral to the moving hand, and besides, a substantial bias in brain activation and proprioceptive acuity when visual feedback was provided in addition to the proprioceptive information during movement execution. In details, brain activation and proprioceptive acuity were both higher in case of movements performed with visual feedback. Remarkably, we also found a correlation between the level of activation in the brain motor area contralateral to the moving hand and the value of proprioceptive acuity.