Using the optimized effective potential (OEP) method in conjunction with an orbital-dependent correlation functional developed on the basis of second-order many-body perturbation theory [MBPT(2)], we perform ab initio correlated density functional calculations. Unlike other density functional methods, this offers the first correlation approximation in a converging series of approximations analogous to that in wave function theory. The OEP-MBPT(2) correlation potentials of the helium isoelectronic series and the neon atom are in excellent agreement with prior quantum Monte Carlo (QMC) results, while the widely used conventional approximate density functional theory correlation potentials have qualitatively incorrect behavior. Furthermore, the correlation energies, total energies, and the highest occupied orbital energies calculated by the OEP-MBPT(2) method are also remarkably accurate. Unlike QMC, our procedure can be applied to general molecules.