A multi-agent engagement scenario is considered in which a high-value aircraft launches two defenders to intercept two homing missiles aimed at the aircraft. Under the assumption that all aircrafts have first-order linear dynamic characteristics, a combined multiple-mode adaptive estimation (MMAE) and a two-way cooperative optimal guidance law are proposed for the target–defenders team. Considering the full cooperation of the target and both the two defenders, the two-way cooperative strategies provide the analytical expressions for their optimal control input, enabling the target–defenders team to intercept the missiles with minimal control effort. To successfully intercept the missiles, MMAE is used to identify the guidance laws adopted by the missiles and estimate their states. The simulation results show that the target cooperating with the defenders to perform lure manoeuvres for the missiles can improve the guidance performance of the defenders as well as reduce the control effort of the defenders for intercepting the missiles.