Demand response (DR) is a critical and effective measure to stimulate the demand side resources to interact with renewable generation in the power system. However, the conventional scope of DR cannot fully exploit the interaction capabilities of demand side resources, which limits the energy users in the electric power system. With the revolution of the traditional economic and social pattern based on centralized fossil energy consumption, "Energy Internet" is impelling the development of the third industrial revolution, which aims at promoting the incorporation of sustainable energy and internet technology, and facilitating the integration of multi-energy systems (MESS). By integrating electricity, thermal energy, natural gas and other forms of energy, the smart energy hub (SEH) makes it possible for energy users to flexibly switch the source of consumed energy. With the complementarity of MESs, even the inelastic loads can actively participate in DR programs, which fully exploits the interaction capability of DR resources while maintaining the consumers' comfort. This novel vision of the DR programs is termed as "Integrated Demand Response (IDR)". In this context, the state-of-the-art of IDR in the MESs is reviewed for the first time. Firstly, the basic concept of IDR and the value analysis are introduced. The research on IDR in the MES is then summarized. The overviews of the engineering projects around the world are introduced. Finally, the key issues and potential research topics on IDR in the MES are proposed. Hopefully, this paper will provide reference for future research and engineering projects on IDR programs in the MES. (C) 2017 Published by Elsevier Ltd.