The first self-consistent hybrid particle-in-cell (PIC) simulation of intense proton beam transport and energy deposition in solid-density matter is presented. Both the individual proton slowing-down and the collective beam-plasma interaction effects are taken into account with a new dynamic proton stopping power module that has been added to a hybrid PIC code. In this module, the target local stopping power can be updated at each time step based on its thermodynamic state. For intense proton beams, the reduction of target stopping power from the cold condition due to continuous proton heating eventually leads to broadening of the particle range and energy deposition far beyond the Bragg peak. For tightly focused beams, large magnetic field growth in collective interactions results in self-focusing of the beam and much stronger localized heating of the target.