This paper develops a model-free volt-VAR optimization (VVO) algorithm via multi-agent deep reinforcement learning (MADRL) in unbalanced distribution systems. This method is novel since we cast the VVO problem in unbalanced distribution networks to an intelligent deep Q-network (DQN) framework, which avoids solving a specific optimization model directly when facing time-varying operating conditions of the systems. We consider statuses/ratios of switchable capacitors, voltage regulators, and smart inverters installed at distributed generators as the action variables of the DQN agents. A delicately designed reward function guides these agents to interact with the distribution system, in the direction of reinforcing voltage regulation and power loss reduction simultaneously. The forward-backward sweep method for radial three-phase distribution systems provides accurate power flow results within a few iterations to the DQN environment. Finally, the proposed multi-objective MADRL method realizes the dual goals for VVO. We test this algorithm on the unbalanced IEEE 13-bus and 123-bus systems. Numerical simulations validate the excellent performance of this method in voltage regulation and power loss reduction.