CoO has an odd number of electrons in its unit cell, and therefore is expected to be metallic. Yet, CoO is strongly insulating owing to significant electronic correlations, thus classifying it as a Mott insulator. We investigate the magnetic fluctuations in CoO using neutron spectroscopy. The strong and spatially far-reaching exchange constants reported recently [P. M. Sarte et al., Phys. Rev. B 98, 024415 (2018)], combined with the single-ion spin-orbit coupling of similar magnitude [R. A. Cowley et al., Phys. Rev. B 88, 205117 (2013)] results in significant mixing between jeff spin-orbit levels in the low-temperature magnetically ordered phase. The high degree of entanglement, combined with the structural domains originating from the Jahn-Teller structural distortion at ∼300 K, make the magnetic excitation spectrum highly structured in both energy and momentum. We extend previous theoretical work on PrTl3 [W. J. L. Buyers et al., Phys. Rev. B 11, 266 (1975)] to construct a mean-field and multilevel spin-orbit exciton model employing the aforementioned spin exchange and spinorbit coupling parameters for coupled Co2+ ions lying on a rocksalt lattice. This parametrization, based on a tetragonally distorted type-II antiferromagnetic unit cell, captures both the sharp low-energy excitations at the magnetic zone center, and the energy broadened peaks at the zone boundary. However, the model fails to describe the momentum dependence of the excitations at high-energy transfers, where the neutron response decays faster with momentum than the Co2+ form factor. We discuss such a failure in terms of a possible breakdown of localized spin-orbit excitons at high-energy transfers.