In the power demand side, responsive loads can provide fast regulation and ancillary services as reserve capacities in interconnected power systems. This paper presents a distributed pinning demand side control (DSC) strategy for coordinating multiple load aggregators, i.e., aggregated responsive loads, to provide frequency regulation services. Specifically, a leader-following communication protocol is considered for the load aggregators in which there is a centralized pinner (leader) and multiple load aggregators (followers). The regulation objective is generated from the pinner and only shared with a small fraction of load aggregators. Moreover, a multi-step algorithm is proposed to determine the control gains in the DSC, which not only guarantees the stability of the close-loop system, but also restrains the plant disturbance. Furthermore, the distributed pinning DSC algorithm is integrated into the traditional centralized proportional-integral-based automatic generation control (AGC) framework, which has formed the coupled secondary frequency control structure. It has been shown that the total power mismatch in each control area is shared with both AGC units and load aggregators, and the system frequency can be improved by considering the distributed pinning DSC for load aggregators. Finally, simulation results are provided to demonstrate the effectiveness of the proposed coupled frequency control strategy.