In this letter, the maximization of resistible jamming power is studied for multi-user downlink millimeter-wave cell-free multiple-input-multiple-output (CF-MIMO) systems. We propose an alternate optimization-based anti-jamming hybrid beamforming (AO-AJHBF) scheme. For receiving beamforming, more practical prior about the jamming channel, i.e., second-order statistics rather than instantaneous information, is exploited via maximizing the generalized Rayleigh quotient. For transmitting beamforming, we use the max-min fairness principle and propose a low-complexity projected gradient ascent-based method to circumvent the excessive computation of semi-definite relaxation (SDR). Simulations verify the performance advantage of proposed AO-AJHBF over schemes based on weighted minimum mean square error and SDR methods.