Combined Heat and Power (CHP) microgrid is one of the effective ways to improve the utilization of renewable energy and realize energy transformation. It has broad application prospects. In order to ensure its economic, flexible and efficient operation, reasonable system optimization is required for CHP microgrid.So, a multi-objective optimization method for the thermal and electrical load demand side response CHP microgrid is proposed. The thermoelectric load demand side response model is based on the building thermodynamic model, and the transferable load scheduling is considered. On this basis, a multi-objective mixed integer linear programming model based on demand side response of thermoelectric load is established, which is solved by the proposed composite particle swarm optimization algorithm. The simulation results of the example show that the application of thermal and electrical load demand response can greatly improve the flexibility of power supply and heating, and reduce the economic operation cost of the system.