The transient response of the optimally controlled multi-delayed quasi-linear system driven by colored noise excitations are studied based on solving the Fokker-Planck-Kolmogorov equation. The system with time delay is firstly transformed to an equivalent system without time delay. The standard stochastic averaging method is adopted to obtain the partially averaged It? stochastic differential equation for the amplitude process of the original system. Based on the dynamical programming principle, the dynamical programming equation is built and the optimal control algorithm for minimizing the system response is obtained combined with the control bounded value. The completed averaged FPK equation for the system amplitude process is then deduced. A set of orthogonal basis functions are obtained by applying the eigenfunction method to the degenerated linear FPK equation. The approximate probability densities are obtained by applying the Galerkin method to the completed averaged FPK equation in the orthogonal basis space. The time-delayed Duffing-Van Der Pol oscillator with optimal bounded control and a colored noise excitation is given as an example to show the proposed procedure. The results obtained by the analytical method are verified by those obtained from Monte Carlo Simulation. The effects of the colored noise, the time delay, the control force and the resonance on the system nonstationary response are discussed. Results obtained show that the proposed procedure can be used to obtain the nonstationary response of the multi-delayed quasi-linear system with optimal bounded control and colored noises effectively.