To enhance the effectiveness of epidemic prevention (EP) in urban sustainability transformation, joint prevention and control mechanism should be established to prevent and control the COVID-19 epidemic. The interurban multi-agent EP strategy, as a key component of this mechanism, includes the spontaneous EP model, the superior leading EP model, and the collaborative EP model. In this study, firstly, the theoretical mechanism of the interurban multi-agent EP strategy was analyzed. Then, we proposed a three-party differential game model including factors such as the risk coefficient for the virus infection and EP experience teaching. Finally, prevention strategies, prevention efficiency, and prevention losses were compared under the three models based on theoretical analysis and numerical analysis. The results of this study are as follows. COVID-19 EP should be guided by a model of central government (CG) leadership, interurban collaboration, and social participation. The CG and urban governments (UGs) should comprehensively carry out COVID-19 EP from various aspects, including EP experience teaching, mass EP comfort, the utilization rate of EP funds, and the ability to implement strategies. During the course of the COVID-19 EP, when the CG and UGs transition from spontaneous EP model to a higher-level EP model, the UG’s EP efforts will be enhanced. Under the collaborative EP model, the CG and UGs undergo the highest levels of EP effort. Compared with spontaneous EP model, the superior leading EP model can promote a Pareto improvement for all parties. From the perspective of total loss, the collaborative EP model is superior to the other two EP models. This study not only provides practical guidance for coordinating interurban relationships and enabling multi-agents to fully form joint forces, but also provides theoretical support for the establishment of an interurban joint EP mechanism under unified leadership.