This paper proposes a new distributed coordinated control scheme based on heterogeneous roles for Unmanned Aerial Vehicle (UAV) swarm to achieve formation control. First, the framework of the distributed coordinated control scheme is designed on the basis of Distributed Model Predictive Control (DMPC). Then, the effect of heterogeneous roles including leader, coordinator and follower is discussed, and the role-based cost functions are developed to improve the performance of coordinated control for UAV swarm. Furthermore, a group of coordination strategies are proposed for UAVs with different roles to achieve swarm conflict resolution. Numerical simulations demonstrate that the presented distributed coordinated control scheme is effective to formulate and maintain the desired formation for the UAV swarm.