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Recently, studies on cycling-based brain–computer interfaces (BCIs) have been standing out due to their potential for lower-limb recovery. In this scenario, the behaviors of the sensory motor rhythms and the brain connectivity present themselves as sources of information that can contribute to interpreting the cortical effect of these technologies. This study aims to analyze how sensory motor rhythms and cortical connectivity behave when volunteers command reactive motor imagery (MI) BCI that provides passive pedaling feedback. We studied 8 healthy subjects who performed pedaling MI to command an electroencephalography (EEG)-based BCI with a motorized pedal to receive passive movements as feedback. The EEG data were analyzed under the following four conditions: resting, MI calibration, MI online, and receiving passive pedaling (on-line phase). Most subjects produced, over the foot area, significant event-related desynchronization (ERD) patterns around Cz when performing MI and receiving passive pedaling. The sharpest decrease was found for the low beta band. The connectivity results revealed an exchange of information between the supplementary motor area (SMA) and parietal regions during MI and passive pedaling. Our findings point to the primary motor cortex activation for most participants and the connectivity between SMA and parietal regions during pedaling MI and passive pedaling.