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The fluctuation of energy price and the expensive energy cost during the peak period will affect the living cost of users, and transmission congestion will also bring additional transmission costs. To solve this problem, this paper establishes the demand response model of energy users. Users can obtain a lower energy price by adjusting their replaceable load and price load. This paper uses cooperative game pricing method to solve the problem of congestion cost allocation. In order to ensure the privacy and independence of the energy system, the alternating direction method of multipliers is proposed to decouple the integrated energy system. The model is verified in the integrated energy system of IEEE 14-node electricity system and 14-node natural gas system. Simulation results show that the algorithm has convergence and can reduce the cost of user participation in demand response. • ADMM divides IES into two subsystems: electricity system and natural gas system. • Shapley value method is used to allocate congestion cost and improve social welfare. • Users participate in demand response to alleviate transmission congestion. • Consider the discomfort cost of energy use, making the user cost more accurate. [ABSTRACT FROM AUTHOR]