With the development of microgrids (MGs), the energy management of MG is paid more attention. In this paper, a multi-party energy management framework for prosumers and operator considering combined heat and power (CHP) and heat storage with demand response (DR) is proposed. In particular, CHP can choose to obey the rule of heat-led mode or electricity-led mode to minimize the total operation cost. Based on the framework of alternating direction method of multipliers (ADMM), a distributed optimal scheduling model and an iterative algorithm for prosumers and operator is introduced, only expected amount of electric and heat and actual provided amount of electric and heat are required during the iterations, which protects the privacy information of prosumers and CHP operator. Finally, the effectiveness of the model and algorithm is verified via a case study.