This paper proposes a new class of arbitarily high-order conservative numerical schemes for the generalized Korteweg-de Vries (KdV) equation. This approach is based on the scalar auxiliary variable (SAV) method. The equation is reformulated into an equivalent system by introducing a scalar auxiliary variable, and the energy is reformulated into a sum of two quadratic terms. Therefore, the quadratic preserving Runge-Kutta method will preserve both the mass and the reformulated energy in the discrete time flow. With the Fourier pseudo-spectral spatial discretization, the scheme conserves the first and third invariant quantities (momentum and energy) exactly in the fully discrete sense. The discrete mass possesses the precision of the spectral accuracy.