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It is demonstrated that the use of the higher covariant derivative regularization reveals some interesting features of quantum corrections in supersymmetric theories. In particular, it allows proving some all-loop exact relations between the renormalization group functions. For instance, in some supersymmetric theories the renormalization group behavior of the gauge and Yukawa couplings is restricted by certain constraints. Such a relation takes place in N=1 SQCD+SQED, where two gauge couplings do not run independently. Namely, it is possible to construct from them a certain combination which is a renormalization group invariant. It is also demonstrated that two similar invariants can be constructed for MSSM from the gauge and Yukawa couplings.