Motivated by the importance of understanding various competing mechanisms to the current-induced spin-orbit torque on magnetization in complex magnets, we develop a theory of current-induced spin-orbital coupled dynamics in magnetic heterostructures. The theory describes angular momentum transfer between different degrees of freedom in solids, e.g., the electron orbital and spin, the crystal lattice, and the magnetic order parameter. Based on the continuity equations for the spin and orbital angular momenta, we derive equations of motion that relate spin and orbital current fluxes and torques describing the transfer of angular momentum between different degrees of freedom, achieved in a steady state under an applied external electric field....