A spin-polarized current transfers its spin-angular momentum to a local magnetization, exciting various types of current-induced magnetization dynamics. So far, most studies in this field have focused on the direct effect of spin transport on magnetization dynamics, but ignored the feedback from the magnetization dynamics to the spin transport and back to the magnetization dynamics. Although the feedback is usually weak, there are situations when it can play an important role in the dynamics. In such situations, simultaneous, self-consistent calculations of the magnetization dynamics and the spin transport can accurately describe the feedback. This review describes in detail the feedback mechanisms, and presents recent progress in self-consistent calculations of the coupled dynamics. We pay special attention to three representative examples, where the feedback generates non-local effective interactions for the magnetization after the spin accumulation has been integrated out. Possibly the most dramatic feedback example is the dynamic instability in magnetic nanopillars with a single magnetic layer. This instability does not occur without non-local feedback. We demonstrate that full self-consistent calculations generate simulation results in much better agreement with experiments than previous calculations that addressed the feedback effect approximately.The next example is for more typical spin valve nanopillars. Although the effect of feedback is less dramatic because even without feedback the current can make stationary states unstable and induce magnetization oscillation, the feedback can still have important consequences. For instance, we show that the feedback can reduce the linewidth of oscillations, in agreement with experimental observations. A key aspect of this reduction is the suppression of the excitation of short wave length spin waves by the non-local feedback.Finally, we consider nonadiabatic electron transport in narrow domain walls. The non-local feedback in these systems leads to a significant renormalization of the effective nonadiabatic 3 spin transfer torque. These examples show that the self-consistent treatment of spin transport and magnetization dynamics is important for understanding the physics of the coupled dynamics and for providing a bridge between the ongoing research fields of current-induced magnetization dynamics and the newly emerging fields of magnetization-dynamics-induced generation of charge and spin currents.