Multi-energy complementary heating (MECH) is the most promising and potential heating technology of the future. However, owing to the increase in energy types, the system is complex, and the operation procedure cumbersome. In addition, due to the uncertainty of climate conditions, it is difficult to develop a general control strategy suitable for all heating systems. In order to study the optimal control strategy of MECH systems with solar, biomass, and electric energy as three heat sources in cold regions, the system heating was tested over different periods during the entire heating season for rural residential buildings in cold regions, and the operating performance of the system was evaluated. The MECH experiment, based on the optimal control strategy, was compared with other different heating systems, and the economic and environmental benefits of the system were further evaluated. The results showed that, compared with room temperature control strategy (RS-CON), the control strategy of the heat storage tank (HST-CON) with sufficient solar energy (SE) can afford a higher solar fraction by 10%, more HST heating hours, and lower operating costs and CO2 emissions. During heating operation, Mode 3 [biomass boiler (BB) + heat storage tank (HST) heating] was the best heating mode. At the end of the heating period, Mode 5 (HST heating) met the indoor heat demand and had a significant energy-saving effect. From the perspective of the whole heating season, HST-CON heating operation can generate lower energy consumption costs and achieve almost zero CO2 emissions. This study is of great significance because it provides an engineering reference for the rational the utilization of MECH systems in cold regions.