The containment control problem of multi-agent systems with exogenous disturbances is investigated in this paper, where the disturbances are generated by an exogenous system. Consequently, a disturbance observer-based control (DOBC) approach is used to estimate the exogenous disturbances, and a distributed containment control protocol are proposed via the state feedback control. Moreover, using the tools from the algebraic graph theory and Lyapunov stability theory, sufficient conditions are obtained to guarantee the containment control of multi-agent systems with exogenous disturbances can be achieved by the DOBC approach. Finally, a numerical simulation is presented to illustrate the effectiveness of the theoretical results.