One important point in the development of a brain-machine Interface (BMI) commanding an exoskeleton is the assessment of the cognitive engagement of the subject during the motor imagery tasks conducted. However, there are not many databases that provide electroencephalography (EEG) data during the use of a lower-limb exoskeleton. The current paper presents a database designed with an experimental protocol aiming to assess not only motor imagery during the control of the device, but also the attention to gait on flat and inclined surfaces. The research was conducted as an EUROBENCH subproject in the facilities sited in Hospital Los Madroños, Brunete (Madrid). The data validation reaches accuracies over 70% in the assessment of motor imagery and attention to gait, which marks the present database as a valuable resource for researches interested on developing and testing new EEG-based BMIs.