Summary: This paper presents an end-user privacy and thermal comfort preserving approach for residential thermostatically controllable loads (TCLs) to provide demand response (DR) in grid services under uncertainties. Unlike the standard approach whereby a central utility-level control is used to control end-users loads, this paper splits the control effort between a central coordinating controller and local robust controllers. The Lagrangian relaxation (LR) method is applied by relaxing the power tracking constraint to obtain a hierarchical control framework with a local controller at each household level and a coordinating controller at the central utility level. Household-level local controllers are based on robust model predictive control (MPC) that relies on minimum household-specific information while accounting for thermal model parameter uncertainties and forecast errors associated with exogenous inputs. Considering inverter-type air conditioners as the TCL, the approach is validated using a practical signal corresponding to the Australian Energy Market Operator. The results demonstrate that accurate tracking of the load set-point signal can be achieved under a considerable range of uncertainties while preserving thermal comfort for end-users. Furthermore, the proposed DR scheme is computationally tractable and robust for real-world implementation.