In reinforcement learning, domain randomisation is an increasingly popular technique for learning more general policies that are robust to domain-shifts at deployment. However, naively aggregating information from randomised domains may lead to high variance in gradient estimation and unstable learning process. To address this issue, we present a peer-to-peer online distillation strategy for RL termed P2PDRL, where multiple workers are each assigned to a different environment, and exchange knowledge through mutual regularisation based on Kullback-Leibler divergence. Our experiments on continuous control tasks show that P2PDRL enables robust learning across a wider randomisation distribution than baselines, and more robust generalisation to new environments at testing.