The primary challenge in solving kinetic equations, such as the Vlasov equation, is the high-dimensional phase space. In this context, dynamical low-rank approximations have emerged as a promising way to reduce the high computational cost imposed by such problems. However, a major disadvantage of this approach is that the physical structure of the underlying problem is not preserved. In this paper, we propose a dynamical low-rank algorithm that conserves mass, momentum, and energy as well as the corresponding continuity equations. We also show how this approach can be combined with a conservative time and space discretization.