The proliferation of technologies such as combine heat and power systems has accelerated the integration of energy resources in energy hubs. Besides, the advances in smart grid technologies motivate the electricity utility companies toward developing demand response (DR) programs to influence the electricity usage behavior of the customers. In this paper, we modify the conventional DR programs in smart grid to develop an integrated DR (IDR) program for multiple energy carriers fed into an energy hub in smart grid, namely a smart energy (S. E.) hub. In our model, the IDR program is formulated for the electricity and natural gas networks. The interaction among the S. E. hubs is modeled as an ordinal potential game with unique Nash equilibrium. Besides, a distributed algorithm is developed to determine the equilibrium. Simulation results show that in addition to load shifting, the customers in the S. E. hubs can participate in the IDR program by switching the energy resources (e.g., from the electricity to the natural gas) during the peak hours. Moreover, the IDR program can increase the S. E. hubs' daily payoff and the utility companies' daily profit.