This article considers distributed optimal control of multiple linear systems. Distributed approximately optimal controllers are proposed for each system with the aid of communications between systems. The proposed controllers make the states of the closed-loop systems exponentially converge to the states of the closed-loop systems with the centralised optimal controllers if the communication digraph is strongly connected. If the communication digraph is switching and there are communication delays, the proposed controllers also make the states of the closed-loop systems exponentially converge to the states of the closed-loop systems with the centralised optimal controllers. Simulation results show effectiveness of the proposed controllers.