Distributed detection of covert attacks for linear large-scale interconnected systems is addressed in this article. Existing results consider the problem in centralized settings. This article focuses on large-scale systems subject to bounded process and measurement disturbances, where a single subsystem is under a covert attack. A detection methodology is proposed, where each subsystem can detect the presence of covert attacks in neighboring subsystems in a distributed manner. The detection strategy is based on the design of two model-based observers for each subsystem using only local information. An extensive detectability analysis is provided and simulation results on a power network benchmark are given, showing the effectiveness of the proposed methodology for the detection of covert cyber-attacks.