Motor imagery brain-computer interfaces (MI-BCI) user training aims at teaching people to control their sensorimotor cortex activity using feedback on the latter, often acquired using electroencephalography (EEG). During training, people are mostly asked to focus their imagery on the sensations associated with a movement, though very little is known on the sensations that mostly favor sensorimotor cortex activity. Our goal was to assess the influence of imagining different sensations on EEG data. Thirty participants performed MI tasks involving the following sensations: (i) interoceptive, arising from the muscles, tendons, and joints, (ii) exteroceptive, arising from the skin, such as thermal sensations, or (iii) both interoceptive and exteroceptive. The results indicate that imagining exteroceptive sensations generates a greater neurophysiological response than imagining interoceptive sensations or both. Imagining external sensations should thus not be neglected in the instructions provided during MI-BCI user training. Our results also confirm the negative influence of mental workload and use of visual imagery on the resulting neurophysiological activity.