We have performed 3-D numerical simulations of compressible convection under the influence of rotation and magnetic fields in spherical shells. They aim at understanding the subtle coupling between convection, rotation and magnetic fields in the solar convection zone. We show that as the magnetic Reynolds number is increased in the simulations, the magnetic energy saturates via nonlinear dynamo action, to a value smaller but comparable to the kinetic energy contained in the shell, leading to increasingly strong Maxwell stresses that tend to weaken the differential rotation driven by the convection. These simulations also indicate that the mean toroidal and poloidal magnetic fields are small compared to their fluctuating counterparts, most of the magnetic energy being contained in the non-axisymmetric fields. The intermittent nature of the magnetic fields generated by such a turbulent convective dynamo confirms that in the Sun the large-scale ordered dynamo responsible for the 22-year cycle of activity can hardly be located in the solar convective envelope.