Whether or not this makes sense rigorously$^\ast$ is beyond me right now (would need to brush up a bit on (gauge-)natural bundle functors and jet prolongations), but the covariant derivative of connections can be defined.
At first let us work with a gauge connection instead of a tangent space connection.
Suppose that $\rho:G\rightarrow\mathrm{GL}(V)$ is a representation of the structure group $G$, and $\psi$ is a field that transforms under the representation $\rho$ as $$ \psi^\prime=\rho(g^{-1})\psi. $$ Then infinitesimally ($g\approx1+\epsilon X$, where $X\in\mathfrak g$ is a Lie algebra element) we have $$ \delta\psi=-\rho(X)\psi, $$
where I have used the same $\rho$ symbol for the induced Lie algebra representation.
The heuristic idea behind gauge connections is that (infinitesimal) parallel transport should have the same effect on the field components as a gauge transformation, so the parallel transport of $\psi$ from $x$ to $x+\mathrm dx$ is $$ \psi_{x+dx}=\rho(U^{-1}(x,dx))\psi_x\approx(1-\mathrm dx^\mu \rho(A_\mu(x)))\psi_x, $$ where $A_\mu$ is $\mathfrak g$-valued.
Then $$ \delta\psi=-\rho(A_\mu)\psi\mathrm dx^\mu $$ is the infinitesimal change in field components during parallel transport. The covariant differential is then $$ D\psi(x)=\psi(x+\mathrm dx)-(\psi(x)-\rho(A_\mu(x))\psi(x))=\mathrm d\psi(x)+\rho(A_\mu(x))\psi(x) \\ =(\partial_\mu\psi+\rho(A_\mu)\psi)\mathrm dx^\mu, $$ so the covariant derivative is $$ D_\mu\psi=\partial_\mu\psi+\rho(A_\mu)\psi. $$
For clarity, let us assume we are given a different gauge connection $B_\mu$. Under a gauge transformation, it transforms as $$ B^\prime_\mu=g^{-1}B_\mu g+g^{-1}\partial_\mu g\approx(1-\epsilon X)B_\mu(1+\epsilon X)+(1-\epsilon X)\partial_\mu(\epsilon X) \\ \approx B_\mu -\epsilon XB_\mu+\epsilon B_\mu X+\epsilon\partial_\mu X=B_\mu +\epsilon(\partial_\mu X+[B_\mu,X]), $$ thus $$ \delta B_\mu=\partial_\mu X+[B_\mu,X]. $$
The field $B_\mu$ does not transform under a linear representation of $G$, but under a nonlinear action of the group's first jet prolongation, but nontheless we can use the formal $X\mapsto A_\mu\mathrm dx^\mu$ rule to determine $B_\mu$'s variation under parallel transport by $A_\mu$ to get $$ \delta B_\mu=\partial_\mu A_\nu\mathrm dx^\nu+[B_\mu, A_\nu]\mathrm dx^\nu. $$
Then the derivative of $B_\mu$ is $$ DB_\mu=\mathrm dB_\mu-\partial_\mu A_\nu\mathrm dx^\nu-[B_\mu,A_\nu]\mathrm dx^\nu \\ =(\partial_\nu B_\mu-\partial_\mu A_\nu +[A_\nu,B_\mu])\mathrm dx^\nu, $$ and so the covariant derivative is $$ D_\mu B_\nu=\partial_\mu B_\nu-\partial_\nu A_\mu +[A_\mu,B_\nu]. $$
If we now substitute $A$ instead of $B$, we obtain $$ D_\mu A_\nu=D_{[\mu}A_{\nu]}=\partial_\mu A_\nu -\partial_\nu A_\mu +[A_\mu,A_\nu]=F_{\mu\nu}, $$ the gauge curvature.
For the tangent space connection, the fundamental representation is $$ V^{\mu^\prime}=V^\mu\frac{\partial x^{\mu\prime}}{\partial x^\mu},$$ so $g=\frac{\partial x}{\partial x^\prime}\equiv J$ (I'll use the notation $J$ here). The infinitesimal transformation is then a vector field's ordinary derivative $\partial_\nu \xi^\mu$.
For the connection we have (I'll use index notation only in the vector index) $$ \Gamma^\prime_\mu=J^{-1}\Gamma_\alpha J J^\alpha_\mu+J^{-1}\partial_\alpha J J^\alpha_\mu, $$ so infinitesimally $$ \delta\Gamma_\mu=-\partial\xi \Gamma_\mu + \Gamma_\mu\partial\xi+\Gamma_\alpha\partial_\mu\xi^\alpha+\partial_\mu\partial\xi. $$
The covariant derivative is then ($\partial\xi\mapsto \Gamma_\mu$) $$ \nabla_\nu\Gamma_\mu=\partial_\nu\Gamma_\mu+\Gamma_\nu\Gamma_\mu-\Gamma_\mu\Gamma_\nu-\partial_\mu\Gamma_\nu-\Gamma_\alpha\Gamma_{\nu\mu}^{\alpha}. $$
Skew-symmetrizing this gives $$ \nabla_{[\mu}\Gamma_{\nu]}=\partial_\mu\Gamma_\nu-\partial_\nu\Gamma_\mu+[\Gamma_\mu,\Gamma_\nu]=R_{\mu\nu}, $$ where $R_{\mu\nu}$ is the Riemann tensor, just the two other indices had been suppressed, and the last term drops out ($\Gamma$ is symmetric).
In case $\Gamma$ is not symmetric, we probably should have ignored the vector index, since we essentially want to take a funky covariant exterior derivative.
*: The curvature can be interpreted rigorously as the covariant derivative of the connection without using heuristic "$X\mapsto A_\mu$" rules or jet prolongations if we lift everything to the overlying principal fibre bundle and use the interpretation of the exterior covariant derivative as $$ \Omega=\mathrm D\omega\equiv \mathrm d\omega\circ \mathrm h, $$ where $\omega$ is a connection form, $\mathrm h$ is the horizontalization and $\Omega$ is the curvature form.