We suggest a method to improve quantum correlations in cavity magnomechanics, through the use of a coherent feedback loop and magnon squeezing. The entanglement of three bipartition subsystems: photon-phonon, photon-magnon, and phonon-magnon, is significantly improved by the coherent feedback-control method that has been proposed. In addition, we investigate Einstein-Podolsky-Rosen steering under thermal effects in each of the subsystems. We also evaluate the scheme's performance and sensitivity to magnon squeezing. Furthermore, we study the comparison between entanglement and Gaussian quantum discord in both steady and dynamical states.