This paper addresses the tracking control problem of nonlinear discrete-time multi-agent systems (MASs). First, a local neighborhood error system (LNES) is constructed. Then, a novel tracking algorithm based on asynchronous iterative Q-learning (AIQL) is developed, which can transform the tracking problem into the optimal regulation of LNES. The AIQL-based algorithm has two Q values Q i A and Q i B for each agent i, where Q i A is used for improving the control policy and Q i B is used for evaluating the value of the control policy. Moreover, the convergence of LNES is given. It is shown that the LNES converges to 0 and the tracking problem is solved. A neural network-based actor-critic framework is used to implement AIQL. The critic network of AIQL is composed of two neural networks, which are used for approximating Q i A and Q i B respectively. Finally, simulation results are given to verify the performance of the developed algorithm. It is shown that the AIQL-based tracking algorithm has a lower cost value and faster convergence speed than the IQL-based tracking algorithm.