Aiming at the uncertainty of the source and load in micro energy grid, a robust optimal scheduling model considering multi-interval uncertainty set of source-load and integrated demand response is proposed. First, considering the uncertainty of wind power, photovoltaic output and electric, and thermal and cooling loads in the micro energy grid, a multi-interval uncertainty set of source-load is established. Then, in order to fully tap the potential of load side dispatching, an integrated demand response model is established, which includes reducible electric load, transferable electric load, flexible cooling, heating load, and replaceable load, based on which, the uncertainty of integrated demand response is considered. Afterwards, with the lowest dispatching cost of micro energy grid as the objective function, a two-stage robust optimal scheduling model of micro energy network is constructed, which considers the multi-interval uncertainty set of source load and the integrated demand response. The model is solved by the column and constraint generation algorithm, the strong duality theory, and the large M method. Finally, the rationality and effectiveness of the proposed model are verified through the analysis of numerical examples.