Recently, the Multi-Agent Pickup and Delivery (MAPD) problem has attracted widespread attention from both academia and industry. In the MAPD problem, each task has its pickup and delivery locations, and the agent needs to pick this task up from the pickup location and deliver it to its delivery location. Therefore, existing works consider the MAPD problem as the core problem in industrial scenarios, e.g., logistics warehouse. Note that the agents considered in the MAPD problem are single-load agents that complete tasks one by one. However, many commercial companies have deployed agents with multi-load instead of single-load agents to improve efficiency and reduce costs. The agents with multi-load can complete multiple tasks at once, so existing solutions cannot work well with the MAPD problem for multi-agents. To solve this issue, we investigate a novel problem in this paper, namely the Multi-Load Agent Pickup and Delivery (MLAPD) problem, where the agents with multi-load not only need to complete assigned real-time tasks but also need to avoid conflicts with each other and the goal is to minimize the total cost in the warehouse. To address this novel problem, we develop a task assignment to complete the assignments between multi-load agents and online tasks in real-time and a dynamic path finding problem that enables multi-load agents to move along conflict-free paths. Finally, extensive experiments in two different warehouses examine the effectiveness of our solutions.