The multi-energy systems can operate and schedule the distributed energy resources (DERs) locally to supply the multi-type loads and participate in the energy markets by aggregating the output power of DERs. Recently, the virtual energy hub (VEH) concept, derived from the energy hub and virtual power plant concepts, has been proposed for participating in the electrical and thermal markets. In this paper, robust self-scheduling of a VEH for participating in the energy and reserve markets is presented. The thermal reserve market is proposed to maintain the real-time thermal power balance and compensate for the effects of thermal demand uncertainty. Various types of DERs for supplying loads of each energy carrier are considered. Compressed natural gas (CNG) station is discussed and modeled linearly in the developed VEH to provide the fuel needed by Hybrid CNG and plug-in electric vehicles, which used the CNG as their secondary energy resource. A scenario-based robust approach is developed and presented to maximize the VEH profit and control the downside risk without adding surplus constraints. Finally, the proposed model is simulated in three case studies to evaluate its performance and effectiveness. • Self-scheduling of virtual energy hub for participating in the bilateral markets. • Thermal and electrical reserve markets. • Hybrid CNG and Plug-in electric vehicles. • CNG station for supplying needed CNG fuel. • Downside risk control via developed scenario-based robust method.