A novel derivation of the Langevin equation that was recently presented in this journal for a univariate continuous Markov process is generalized here to the more widely applicable multivariate case. The companion multivariate forward and backward Fokker–Planck equations are also derived. The derivations require just a few modest assumptions, and are driven by a self-consistency condition and some established theorems of random variable theory and ordinary calculus. The constructive nature of the derivations shows why a multivariate continuous Markov process must evolve according to equations of the canonical Langevin and Fokker–Planck forms, and also sheds new light on some uniqueness issues. The need for self-consistency in the time-evolution equations of both Markovian and non-Markovian stochastic processes is emphasized, and it is pointed out that for a great many non-Markovian processes self-consistency can be ensured most easily through the multivariate Markov theory.