The ever-increasing requirements of demand response dynamics, competition among different stakeholders, and information privacy protection intensify the challenge of the optimal operation of microgrids. To tackle the above problems, this article proposes a three-stage optimization strategy with a deep reinforcement learning (DRL)-based distributed privacy optimization. In the upper layer of the model, the rule-based deep deterministic policy gradient (DDPG) algorithm is proposed to optimize the load migration problem with demand response, which enhances dynamic characteristics with the interaction between electricity prices and consumer behavior. Due to the competition among different stakeholders and the information privacy requirement in the middle layer of the model, a potential game-based distributed privacy optimization algorithm is improved to seek Nash equilibriums (NEs) with encoded exchange information by a distributed privacy-preserving optimization algorithm, which can ensure the convergence as well as protect privacy information of each stakeholder. In the lower layer of the model of each stakeholder, economic cost and emission rate are both taken as operation objectives, and a gradient descent-based multiobjective optimization method is employed to approach this objective. The simulation results confirm that the proposed three-stage optimization strategy can be a viable and efficient way for the optimal operation of microgrids.