This paper studies the differential graphical games for linear multi‐agent systems with modelling uncertainties. A robust optimal control policy that seeks the distributed Nash equilibrium solution and guarantees the leader‐following consensus is designed. The weighting matrices rely on modelling uncertainties, leading to the Nash equilibrium solution, and the solution can be obtained by solving a decoupled algebraic Riccati equation. Simulation studies are finally reported to illustrate the effectiveness of proposed policy.