Emotion recognition has attracted a lot of interest in recent years in various application areas such as healthcare and autonomous driving. Existing approaches to emotion recognition are based on visual, speech, or psychophysiological signals. However, recent studies are looking at multimodal techniques that combine different modalities for emotion recognition. In this work, we address the problem of recognizing the user’s emotion as a driver from unlabeled videos using multimodal techniques. We propose a collaborative training method based on cross-modal distillation, i.e., ”FedCMD” (Federated Cross-Modal Distillation). Federated Learning (FL) is an emerging collaborative decentralized learning technique that allows each participant to train their model locally to build a better generalized global model without sharing their data. The main advantage of FL is that only local data is used for training, thus maintaining privacy and providing a secure and efficient emotion recognition system. The local model in FL is trained for each vehicle device with unlabeled video data by using sensor data as a proxy. Specifically, for each local model, we show how driver emotional annotations can be transferred from the sensor domain to the visual domain by using cross-modal distillation. The key idea is based on the observation that a driver’s emotional state indicated by a sensor correlates with facial expressions shown in videos. The proposed ”FedCMD” approach is tested on the multimodal dataset ”BioVid Emo DB” and achieves state-of-the-art performance. Experimental results show that our approach is robust to non-identically distributed data, achieving 96.67% and 90.83% accuracy in classifying five different emotions with IID (independently and identically distributed) and non-IID data, respectively. Moreover, our model is much more robust to overfitting, resulting in better generalization than the other existing methods.