In this paper, we consider the cooperative output regulation of linear multi-agent systems under switching network. The problem can be viewed as a generalization of the leader-following consensus problem of multi-agent systems. Due to the limited information exchanges of different subsystems, the problem cannot be solved by the decentralized approach and is not allowed to be solved by the centralized control. By devising a distributed observer network, we can solve the problem by both dynamic state feedback control and dynamic measurement output feedback control. As an application of our main result, we show that a special case of our results leads to the solution of the leader-following consensus problem of linear multi-agent systems.