Few-photon effects such as photon blockade and tunneling have potential applications in modern quantum technology. To enhance the few-photon effects in an optomechanical system, we introduce a coherent feedback loop to cavity mode theoretically. By studying the second-order correlation function, we show that the photon blockade effect can be improved with feedback. Under appropriate parameters, the photon blockade effect exists even when cavity decay rate is larger than the single-photon optomechanical coupling coefficient, which may reduce the difficulty of realizing single-photon source in experiments. Through further study of the third-order correlation function, we show that the tunneling effect can also be enhanced by feedback. In addition, we discuss the application of feedback on Schrödinger-cat state generation in an optomechanical system. The result shows that the fidelity of cat state generation can be improved in the presence of feedback loop.