Replace the LED lights with incandescents.
If you don't want to do that, replace the LED lights with units that are better designed and manufactured. I can't tell what country you're posting from, but in the US, the FCC has regulations about how much interference unintentional radiators are allowed to emit, and it is illegal to sell electronic devices that don't comply with FCC part 15.
Depending on how bad the lights are, it might be that putting a ferrite choke over the power wires which are feeding them, with the choke as close to the light as possible, might cut the amount of RF interference being radiated by the power lines. That's about the only practical mitigating measure I can think of that wouldn't involve actually opening the lights up to see what's inside them.