Reinforcement learning (RL), one of three branches of machine learning, aims for autonomous learning and is now greatly driving the artificial intelligence development, especially in autonomous distributed systems, such as cooperative Boston Dynamics robots. However, robust RL has been a challenging problem of reliable aspects due to the gap between laboratory simulation and real world. Existing efforts have been made to approach this problem, such as performing random environmental perturbations in the learning process. However, one cannot guarantee to train with a positive perturbation as bad ones might bring failures to RL. In this work, we treat robust RL as a multi-task RL problem, and propose a curricular robust RL approach. We first present a generative adversarial network (GAN) based task generation model to iteratively output new tasks at the appropriate level of difficulty for the current policy. Furthermore, with these progressive tasks, we can realize curricular learning and finally obtain a robust policy. Extensive experiments in multiple environments demonstrate that our method improves the training stability and is robust to differences in training/test conditions.