Prompt-based offline methods are commonly used to optimize large language model (LLM) responses, but evaluating these responses is computationally intensive and often fails to accommodate diverse response styles. This study introduces a novel online evaluation framework that employs a multi-agent conversational bandit model to select optimal responses while aligning with user preferences dynamically. To tackle challenges such as high-dimensional features, large response sets, adaptive conversational needs, and multi-device access, we propose MACO, Multi-Agent Conversational Online Learning, which comprises two key components: (1) \texttt{MACO-A}: Executed by local agents, it employs an online elimination mechanism to filter out low-quality responses. (2) \texttt{MACO-S}: Executed by the cloud server, it adaptively adjusts selection strategies based on aggregated preference data. An adaptive preference mechanism triggers asynchronous conversations to enhance alignment efficiency. Theoretical analysis demonstrates that MACO achieves near-optimal regret bounds, matching state-of-the-art performance in various degenerate cases. Extensive experiments utilizing Google and OpenAI text embedding models on the real-world datasets with different response styles, combined with Llama and GPT-4o, show that MACO consistently outperforms baseline methods by at least 8.29\% across varying response set sizes and numbers of agents.