We address a scheme to enhance the quantum correlations in cavity opto-magnomechanical system by using the coherent feedback loop in the presence of magnon squeezing. The proposed coherent feedback-control allows a significant enhancement of the entanglement of three bipartite subsystems, i.e., photon-phonon, photonmagnon and phonon-magnon. We also study the Einstein-Podolsky-Rosen steering and one-way steering in the presence of thermal effects without imposing additional conditions of asymmetric losses or noises in the subsystems. Furthermore, we investigate the sensitiveness of the scheme to the magnon squeezing, and its performance in non-ideal situations in which losses and noises are taken into account.