Nonlinear equations are derived relevant to describe the propagation of powerful electromagnetic fields launched within a plasma. The nonlinear generation of self-induced collective electromagnetic perturbations are obtained with matter lying in the relativistic regime. Our main result is the self-consistent treatment of the coupled equations between the pump and its self-induced fields. In particular, a mechanism is pointed out for self-generation of quasistatic magnetic field that is due to the relativistic ponderomotive force. This process is found to be more efficient to produce quasistatic magnetic fields, as confirmed by recent experiments, as compared to known effects such as the inverse Faraday effect. As an application, we investigate conditions for relativistic magnetic guiding of light to occur under the combined action of the self-induced density and magnetic field.