Neurorehabilitation with robotic devices requires a paradigm shift to enhance human-robot interaction. The coupling of robot assisted gait training (RAGT) with a brain-machine interface (BMI) represents an important step in this direction but requires better elucidation of the effect of RAGT on the user's neural modulation. Here, we investigated how different exoskeleton walking modes modify brain and muscular activity during exoskeleton assisted gait. We recorded electroencephalographic (EEG) and electromyographic (EMG) activity from ten healthy volunteers walking with an exoskeleton with three modes of user assistance (i.e., transparent, adaptive and full assistance) and during free overground gait. Results identified that exoskeleton walking (irrespective of the exoskeleton mode) induces a stronger modulation of central mid-line mu (8-13 Hz) and low-beta (14-20 Hz) rhythms compared to free overground walking. These modifications are accompanied by a significant re-organization of the EMG patterns in exoskeleton walking. On the other hand, we observed no significant differences in neural activity during exoskeleton walking with the different assistance levels. We subsequently implemented four gait classifiers based on deep neural networks trained on the EEG data during the different walking conditions. Our hypothesis was that exoskeleton modes could impact the creation of a BMI-driven RAGT. We demonstrated that all classifiers achieved an average accuracy of 84.13±3.49% in classifying swing and stance phases on their respective datasets. In addition, we demonstrated that the classifier trained on the transparent mode exoskeleton data can classify gait phases during adaptive and full modes with an accuracy of 78.3±4.8% , while the classifier trained on free overground walking data fails to classify the gait during exoskeleton walking (accuracy of 59.4±11.8% ). These findings provide important insights into the effect of robotic training on neural activity and contribute to the advancement of BMI technology for improving robotic gait rehabilitation therapy.