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This paper proposes a data-driven cooperative method for load frequency control (LFC) of the multi-area power system based on multi-agent deep reinforcement learning (MA-DRL) in continuous action domain. The proposed method can nonlinearly and adaptively derive the optimal coordinated control strategies for multiple LFC controllers through centralized learning and decentralized implementation. The centralized learning is achieved by MA-DRL based on a global action-value function to quantify overall LFC performance of the power system. To solve the MA-DRL problem, multi-agent deep deterministic policy gradient (DDPG) is derived to adjust control agents’ parameters considering the nonlinear generator behaviors. For implementation, each individual controller only needs local information in its control area to deliver optimal control signals. Numerical simulations on a three-area power system and the fully-modeled New-England 39-bus system demonstrate that the proposed method can effectively minimize control errors against stochastic frequency variations caused by load and renewable power fluctuations. [ABSTRACT FROM AUTHOR]