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In order to solve the problem of diversified low-carbon energy supply with renewable energy as the main body, concentrating solar power (CSP) stations are introduced to act as cogeneration units. Taking full advantage of the flexible coupling and multienergy complementarity of electric, heat, and gas, an economic dispatch method for combined heat and power microgrid systems (CHP microgrid) with interconnected electric, heat, and gas is proposed. First, build the CSP-CHP microgrid structure and model the main equipment. Then, aiming at the minimum operating cost of the system, a regular scheduling model of the CSP-CHP microgrid system is established. On this basis, in order to deal with the uncertainty of renewable energy output, a distributionally robust optimization (DRO) model is introduced. In the DRO model, the Kullback–Leibler (KL) divergence is used to construct an ambiguity set about the predicted error of renewable energy output, and finally, the CSP-CHP microgrid DRO economic dispatch model is established. Finally, the system is simulated and analyzed in a typical CSP-CHP microgrid system, and the feasibility and effectiveness of the proposed method are verified by analysis. In addition, the necessity of introducing CSP and the advantages of the DRO model is further explained by comparison.