We present and implement a self-consistent D$Gamma$A approach for multi-orbital models and ab initio materials calculations. It is applied to the one-band Hubbard model at various interaction strengths with and without doping, to the two-band Hubbard model with two largely different bandwidths, and to SrVO$_3$. The self-energy feedback reduces critical temperatures compared to dynamical mean-field theory, even to zero temperature in two-dimensions. Compared to a one-shot, non-self-consistent calculation the non-local correlations are significantly reduced when they are strong. In case non-local correlations are weak to moderate as for SrVO$_3$, one-shot calculations are sufficient.