It is not possible to automatically load-balance with multiple Collector hosts, but you can manually distribute the load by allocating certain groups or specific hosts to a specific collector priority.
Please note that the agent will use the first collector in the list unless it can't connect or the connection gets interrupted and it can't reconnect, at which point it will try the next collector in the list until there are no more, then it will wait a few minutes and try the list from the beginning again. You can manually specify which collector certain machines prioritize use by using variables.
1) Create a new variable, such as $COLLECTOR1. Go to Tools > Variables, and click Add. For the value, specify the hostname or IP of your environment's default collector. For example, server1.mydomain.com
2) Create as many additional variables, such as $COLLECTOR2, $COLLECTOR3 as you have for collector hosts, specifying their hostname or IP. For example, server2.mydomain.com, server3.mydomain.com
3) Right-click a group or individual agent host and choose Set Variables. Double-click $COLLECTOR1 and specify the hostname or IP of the collector host that the group or individual agent host should connect to first. For example, perhaps you want this group or individual agent to always connect to the collector at server3.mydomain.com first, instead of the default server1.mydomain.com
4) Repeat step 3 for each of your collector variables so that you can re-arrange the collector prioritization for the specified group or individual agent.
5) Click Home > Collector and modify the Hostname field to contain all of your collector variables in the default priority order, for example $COLLECTOR1,$COLLECTOR2,$COLLECTOR3