We introduce an orbital-optimized double-hybrid (DH) scheme using the optimized-effective-potential (OEP) method. The orbitals are optimized using a local potential corresponding to the complete exchange-correlation energy expression including the second-order Møller-Plesset (MP2) correlation contribution. We have implemented a one-parameter version of this OEP-based self-consistent DH scheme using the BLYP density-functional approximation and compared it to the corresponding non-self-consistent DH scheme for calculations on a few closed-shell atoms and molecules. While the OEP-based self-consistency does not provide any improvement for the calculations of ground-state total energies and ionization potentials, it does improve the accuracy of electron affinities and restores the meaning of the LUMO orbital energy as being connected to a neutral excitation energy. Moreover, the OEP-based self-consistent DH scheme provides reasonably accurate exchange-correlation potentials and correlated densities.