The brain is a highly complex physical system made of assemblies of neurons that work together to accomplish elaborate tasks such as motor control, memory and perception. How these parts work together has been studied for decades by neuroscientists using neuroimaging, psychological manipulations, and neurostimulation. Neurostimulation has gained particular interest, given the possibility to perturb the brain and elicit a specific response. This response depends on different parameters such as the intensity, the location and the timing of the stimulation. However, most of the studies performed so far used previously established protocols without considering the ongoing brain activity and, thus, without adaptively targeting the stimulation. In control theory, this approach is called open-loop control, and it is always paired with a different form of control called closed-loop, in which the current activity of the brain is used to establish the next stimulation. Recently, neuroscientists are beginning to shift from classical fixed neuromodulation studies to closed-loop experiments. This new approach allows the control of brain activity based on responses to stimulation and thus to personalize individual treatment in clinical conditions. Here, we review this new approach by introducing control theory and focusing on how these aspects are applied in brain studies. We also present the different stimulation techniques and the control approaches used to steer the brain. Finally, we explore how the closed-loop framework will revolutionize the way the human brain can be studied, including a discussion on open questions and an outlook on future advances.