How to go about cooling load forecast for a district level dataset?
For a good overview of common statistical methods, check our Rob Hyndman's Forecasting Principles and Practices.
For a comparison of different models, including machine learning and deep learning, check out the M4 competition and their companion repo. The current state-of-the-art on the M4 data set is N-BEATS as far as I know. 
For a replication and extension of the M4 study in Python, check out sktime (disclaimer: I'm one of the developers) and our preprint.