The uncoordinated integration of numerous distributed resources poses significant challenges to the safe and stable operation of distribution networks. To address the uncertainties associated with the intermittent output of distributed power sources, we propose a multi-objective planning strategy for distribution networks based on distributionally robust model predictive control (MPC). Initially, an error fuzzy set is established on a Wasserstein sphere using historical data to enhance out-of-sample performance. Next, a multi-objective optimization framework is constructed, balancing returns and risks, and is subsequently converted into a single-objective solution using value-at-risk conditions. This is followed by the implementation of multi-step rolling optimization within the model predictive control framework. We have linearized the proposed model using the linearized power flow method and conducted a thorough validation on an enhanced IEEE 37-node test system. Distributionally robust optimization (DRO) has been shown to reduce costs by a significant 29.16% when compared to an RO method. Moreover, the energy storage capacity required has been notably reduced by 33.33% on the 29-node system and by 20% on the 35-node system. These quantified results not only demonstrate the substantial economic efficiency gains but also the enhanced robustness of our proposed planning under the uncertainties associated with renewable energy integration.