The dissipative soliton regime is one of the most advanced ways to generate high-energy femtosecond pulses in mode-locked lasers. On the other hand, the stimulated Raman scattering in a fibre laser may convert the excess energy out of the coherent dissipative soliton to a noisy Raman pulse, thus limiting its energy. Here we demonstrate that intracavity feedback provided by re-injection of a Raman pulse into the laser cavity leads to formation of a coherent Raman dissipative soliton. Together, a dissipative soliton and a Raman dissipative soliton (of the first and second orders) form a two (three)-colour stable complex with higher total energy and broader spectrum than those of the dissipative soliton alone. Numerous applications can benefit from this approach, including frequency comb spectroscopy, transmission lines, seeding femtosecond parametric amplifiers, enhancement cavities and multiphoton fluorescence microscopy.