Proactive demand response is a cost-effective approach to enhance energy flexibility of high-renewable urban energy systems. This paper proposes a two-stage real-time multi-energy demand response framework for a high-renewable building microgrid. In the first stage, a rolling horizon-based on-line scheduling model is formulated to economically optimize the building multi-energy converters and storages via a novel transactive pricing mechanism. In the second stage, the schedulable multi-energy flexibility for response devices is defined and evaluated via comprehensive information. After obtaining the stochastic optimal economical scheduling results in the first stage, the second stage performs a rule-based faster-time scale multi-energy allocation to offset the real-time mismatch energy due to supply–demand uncertainties. Case studies over a building microgrid are performed to validate the effective and superior performances of the proposed method on improvements of multi-energy economy and flexibility. Simulations results show that the system operating cost can be reduced by at most 36.9% with a higher operational flexibility.