Vlad offered a solid answer: need to practice with consultants and experienced coaches for the actionable / relevant feedback, and live cases can be useful as well. Fit is also a component, and obviously it all is also a numbers game.
One other thing that crossed my mind since I have this issue right now with two of my clients: Do you get stressed out and lose your abilities? If so, you need to address your nerves first. We've had a few threads on this lately, with potential solutions including compatmentalization, yoga / meditation, box breathing....
If you still aren't sure why you got rejected and you haven't done so yet, I would also encourage you to reach out to all these companies again and ask for some feedback. It will often be of poor quality but you might hopefully get lucky and be told exactly where you failed.
Last but not least: I know rejection hurts, I have been rejected by multiple consulting firms, some more than once. I eventually got into BCG though -> all is not lost, there will be other opportunities if that's what you really want. Also remember that MBB rejects tens of thousands of amazing people every year, who often go on to very successful careers in industry or start ups. This outcome doesn't say anything about you; keep your head up and truck along, someone else will come your way.