Rectified transport of self-propelled particles in an asymmetric period potential is numerically investigated by employing a feedback control protocol. The feedback control is switched on and off depending on the direction of the self-propelled speed. It is found that the direction of the transport is determined by the asymmetry of the potential and the feedback control strength. In the presence of feedback control, the directed transport can be improved significantly by increasing the feedback control strength under appropriate conditions. For large ensembles of particles, however, the feedback control will not obviously affect the transport of self-propelled particles. The present studies may be relevant to some applications in biology and nanotechnology, and provide the predicting results in experiments of active particles.