To realize the win-win benefits and resource coordination of the multilevel operating entities of a “microgrid cluster (MGC), microgrid (MG) and user” and improve the self-consumption of new energy in the MGC, this paper proposes an energy trading model and solution algorithm of an “MGC, MG and user” based on a multi-agent-system, incentive demand response, and hierarchical Stackelberg game theory. By analyzing the game objectives and strategies of these participants, the unique Stackelberg equilibrium (SE) of the hierarchical Stackelberg game is proved theoretically. The game optimization process is divided into two levels. In the upper-level game, the MGC as a leader stimulates the MG to participate in intracluster dispatching by establishing an internal price incentive mechanism. As the follower, the MG determines the number of electricity transactions based on the realized internal price to maximize its own profits. In the lower-level game, the MG leads the game by deciding electricity selling prices based on the load demands of users, and the user as follower adjust electricity consumption using strategies to balance expenditure and experience of electricity usage. Simulation results verified the effectiveness and good convergence of the proposed method and demonstrated that the proposed hierarchical game strategy can improve the economic benefits of each participant, which is conducive to the establishment of friendly grid-connected MGC.