We present a detailed microscopic theory of the conserved spin current which is introduced by us [Phys. Rev. Lett. \textbf{96}, 196602 (2006)] and satisfies the spin continuity equation even for spin-orbit coupled systems. The spin transport coefficients $\sigma_{\mu\nu}^{s}$ as a response to the electric field are shown to consist of two parts, i.e., the conventional part $\sigma_{\mu\nu}^{s0}$ and the spin torque dipole correction $\sigma_{\mu\nu }^{s\tau}$. As one key result, an Onsager relation between $\sigma_{\mu\nu }^{s}$ and other kinds of transport coefficients are shown. The expression for $\sigma_{\mu\nu}^{s}$ in terms of single-particle Bloch states are derived, by use of which we study the conserved spin Hall conductivity in the two dimensional hole gas modeled by a combined Luttinger and SIA Rashba spin-orbit coupling. It is shown that the two components in spin Hall conductivity usually have the opposite contributions. While in the absence of Rashba spin splitting, the spin Hall transport is dominated by the conventional contribution, the presence of Rashba spin splitting stirs up a large enhancement of the spin torque dipole correction, leading to an overall sign change for the total spin Hall conductivity. Furthermore, an approximate two-band calculation and the subsequent comparison with the exact four-band results are given, which reveals that the coupling between the heavy hole and light hole bands should be taken into account for strong Rashba spin splitting.