To clarify, this bionic leg is not directly mind controlled. Instead, the leg uses EMG electrodes on the tigh that record muscle activation signals, i.e. motoneuron discharges in the tigh muscles; these neurons are presumably activated by spinal cord networks responsible for locomotion. These are activated by brainstem networks (a part of the brain we share with the most primitive vertebrates), which of course at some level are controlled by the cerebral cortex. Just to say that there are quite a few layers between conscious thoughts and the electrodes.
Still very impressive! And I think this is much more promising technology than direct brain recordings actually.