Biological organisms continuously select and sample information used by their neural structures for perception and action, and for creating coherent cognitive states guiding their autonomous behavior. Information processing, however, is not solely an internal function of the nervous system. Here we show, instead, how sensorimotor interaction and body morphology can induce statistical regularities and information structure in sensory inputs and within the neural control architecture, and how the flow of information between sensors, neural units, and effectors is actively shaped by the interaction with the environment. We analyze sensory and motor data collected from real and simulated robots and reveal the presence of information structure and directed information flow induced by dynamically coupled sensorimotor activity, including effects of motor outputs on sensory inputs. We find that information structure and information flow in sensorimotor networks (a) is spatially and temporally specific, (b) can be affected by learning, and (c) can be affected by changes in body morphology. Our results suggest a fundamental link between physical embeddedness and information, highlighting the effects of embodied interactions on internal (neural) information processing, and illuminating the role of various system components on the generation of behavior.