Robotics and neuroscience are sister disciplines that both aim to understand how agile, efficient, and robust locomotion can be achieved in autonomous agents. Robotics has already benefitted from neuromechanical principles discovered by investigating animals. These include the use of high-level commands to control low-level central pattern generator-like controllers, which, in turn, are informed by sensory feedback. Reciprocally, neuroscience has benefited from tools and intuitions in robotics to reveal how embodiment, physical interactions with the environment, and sensory feedback help sculpt animal behavior. We illustrate and discuss exemplar studies of this dialog between robotics and neuroscience. We also reveal how the increasing biorealism of simulations and robots is driving these two disciplines together, forging an integrative science of autonomous behavioral control with many exciting future opportunities.