The non-equilibrium self-consistent generalized Langevin equation theory of irreversible processes in glass-forming liquids [P. Ramírez-González and M. Medina-Noyola, Phys. Rev. E 82, 061503 (2010)] is extended here to multi-component systems. The resulting theory describes the statistical properties of the instantaneous local particle concentration profiles nα(r, t) of species α in terms of the coupled time-evolution equations for the mean value n̄α(r, t) and for the covariance σ(αβ)(r, r'; t) ≡ δn(α)(r, t)δn(β)(r', t) of the fluctuations δn(α)(r, t) = n(α)(r, t) - n̄α(r, t). As in the monocomponent case, these two coarse-grained equations involve a local mobility function bα(r, t) for each species, written in terms of the memory function of the two-time correlation function C(αβ)(r, r'; t, t') ≡ δn(α)(r, t)δn(β)(r', t'). If the system is constrained to remain spatially uniform and subjected to a non-equilibrium preparation protocol described by a given temperature and composition change program T(t) and n̄α(r, t), these equations predict the irreversible structural relaxation of the partial static structure factors Sαβ(k; t) and of the (collective and self) intermediate scattering functions Fαβ(k, τ; t) and F(αβ)(S)(k, τ; t). We illustrate the applicability of the resulting theory with two examples involving simple model mixtures subjected to an instantaneous temperature quench: an electroneutral binary mixture of equally sized and oppositely charged hard-spheres, and a binary mixture of soft-spheres of moderate size-asymmetry.