This paper proposes an integrated scheduling model for optimal dispatch of cooling, heating, power, gas and water sources in an energy-water microgrid, where the microgrid operator participates in the power, heat, and gas markets and utilizes energy conversion facilities to meet various demands. Further, the role of water and energy storage systems (WESSs) and demand response program (DRP) is investigated on optimal scheduling of the combined cooling, heating, power, gas, and water-based microgrid. In addition, a multi-objective two-stage stochastic optimization model is adopted to minimize the total cost, including operating and emission costs and the amount of potable water extracted from water wells due to the uncertainties of electrical demand, wind power, and electricity market price. Moreover, the epsilon-constraint method and fuzzy satisfying approach are applied to obtain the optimal solution in the multi-objective problem. Ultimately, the simulation results confirm the advantages of simultaneous consideration of WESSs and DRP on the total cost of the proposed energy-water microgrid.