Animals rely on an adaptive coordination of legs during walking. However, which specific mechanisms underlie coordination during natural locomotion remains largely unknown. One hypothesis is that legs can be coordinated mechanically based on a transfer of body load from one leg to another. To test this hypothesis, we simultaneously recorded leg kinematics, ground reaction forces and muscle activity in freely walking stick insects (Carausius morosus). Based on torque calculations, we show that load sensors (campaniform sensilla) at the proximal leg joints are well suited to encode the unloading of the leg in individual steps. The unloading coincides with a switch from stance to swing muscle activity, consistent with a load reflex promoting the stance-to-swing transition. Moreover, a mechanical simulation reveals that the unloading can be ascribed to the loading of a specific neighbouring leg, making it exploitable for inter-leg coordination. We propose that mechanically mediated load-based coordination is used across insects analogously to mammals.