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Demand flexibility is increasingly important for power grids, in light of growing penetration of renewable generation. Careful coordination of thermostatically controlled loads (TCLs) can potentially modulate energy demand, decrease operating costs, and increase grid resiliency. However, it is challenging to control a heterogeneous population of TCLs: the control problem has a large state action space; each TCL has unique and complex dynamics; and multiple system-level objectives need to be optimized simultaneously. To address these challenges, we propose a distributed control solution, which consists of a central load aggregator that optimizes system-level objectives and building-level controllers that track the load profiles planned by the aggregator. To optimize our agents' policies, we draw inspirations from both reinforcement learning (RL) and model predictive control. Specifically, the aggregator is updated with an evolutionary strategy, which was recently demonstrated to be a competitive and scalable alternative to more sophisticated RL algorithms and enables policy updates independent of the building-level controllers. We evaluate our proposed approach across four climate zones in four nine-building clusters, using the newly-introduced CityLearn simulation environment. Our approach achieved an average reduction of 16.8% in the environment cost compared to the benchmark rule-based controller.