Multidimensional consistency has emerged as a key integrability property for partial difference equations (PΔEs) defined on the ‘space–time’ lattice. It has led, among other major insights, to a classification of scalar affine-linear quadrilateral PΔEs possessing this property, leading to the so-called Adler–Bobenko–Suris (ABS) list. Recently, a new variational principle has been proposed that describes the multidimensional consistency in terms of discrete Lagrangian multi-forms. This description is based on a fundamental and highly non-trivial property of Lagrangians for those integrable lattice equations, namely the fact that on the solutions of the corresponding PΔE the Lagrange forms are closed, i.e. they obey a closure relation . Here, we extend those results to the continuous case: it is known that associated with the integrable PΔEs there exist systems of partial differential equations (PDEs), in fact differential equations with regard to the parameters of the lattice as independent variables, which equally possess the property of multidimensional consistency. In this paper, we establish a universal Lagrange structure for affine-linear quad-lattices alongside a universal Lagrange multi-form structure for the corresponding continuous PDEs, and we show that the Lagrange forms possess the closure property.