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The exponential increase of wireless devices with highly demanding services such as streaming video, gaming and others has imposed several challenges to Wireless Local Area Networks (WLANs). In the context of Wi-Fi, IEEE 802.11ax brings high-data rates in dense user deployments. Additionally, it comes with new flexible features in the physical layer as dynamic Clear-Channel-Assessment (CCA) threshold with the goal of improving spatial reuse (SR) in response to radio spectrum scarcity in dense scenarios. In this paper, we formulate the Transmission Power (TP) and CCA configuration problem with an objective of maximizing fairness and minimizing station starvation. We present four main contributions into distributed SR optimization using Multi-Agent Multi-Armed Bandits (MAMABs). First, we propose to reduce the action space given the large cardinality of action combination of TP and CCA threshold values per Access Point (AP). Second, we present two deep Multi-Agent Contextual MABs (MA-CMABs), named Sample Average Uncertainty (SAU)-Coop and SAU-NonCoop as cooperative and non-cooperative versions to improve SR. In addition, we present an analysis whether cooperation is beneficial using MA-MABs solutions based on the e-greedy, Upper Bound Confidence (UCB) and Thompson techniques. Finally, we propose a deep reinforcement transfer learning technique to improve adaptability in dynamic environments. Simulation results show that cooperation via SAU-Coop algorithm contributes to an improvement of 14.7% in cumulative throughput, and 32.5% improvement of PLR when compared with no cooperation approaches. Finally, under dynamic scenarios, transfer learning contributes to mitigation of service drops for at least 60% of the total of users.