Let $G = K_{n_1,n_2,\cdots,n_t}$ be a complete $t$-partite graph on $n=\sum_{i=1}^t n_i$ vertices. The distance between vertices $i$ and $j$ in $G$, denoted by $d_{ij}$ is defined to be the length of the shortest path between $i$ and $j$. The squared distance matrix $Δ(G)$ of $G$ is the $n\times n$ matrix with $(i,j)^{th}$ entry equal to $0$ if $i = j$ and equal to $d_{ij}^2$ if $i \neq j$. We define the squared distance energy $E_Δ(G)$ of $G$ to be the sum of the absolute values of its eigenvalues. We determine the inertia of $Δ(G)$ and compute the squared distance energy $E_Δ(G)$. More precisely, we prove that if $n_i \geq 2$ for $1\leq i \leq t$, then $ E_Δ(G)=8(n-t)$ and if $ h= |\{i : n_i=1\}|\geq 1$, then $$ 8(n-t)+2(h-1) \leq E_Δ(G) < 8(n-t)+2h.$$ Furthermore, we show that for a fixed value of $n$ and $t$, both the spectral radius of the squared distance matrix and the squared distance energy of complete $t$-partite graphs on $n$ vertices are maximal for complete split graph $S_{n,t}$ and minimal for Tur{á}n graph $T_{n,t}$.