This paper proposes a privacy-preserving energy management of a shared energy storage system (SESS) for multiple smart buildings using federated reinforcement learning (FRL). To preserve the privacy of energy scheduling of buildings connected to the SESS, we present a distributed deep reinforcement learning (DRL) framework using the FRL method, which consists of a global server (GS) and local building energy management systems (LBEMSs). In the framework, the LBEMS DRL agents share only a randomly selected part of their trained neural network for energy consumption models with the GS without consumer’s energy consumption data. Using the shared models, the GS executes two processes: (i) construction and broadcast of a global model of energy consumption to the LBEMS agents for retraining their local models and (ii) training of the SESS DRL agent’s energy charging and discharging from and to the utility and buildings. Simulation studies are conducted using one SESS and three smart buildings with solar photovoltaic systems. The results demonstrate that the proposed approach can schedule the charging and discharging of the SESS and an optimal energy consumption of heating, ventilation, and air conditioning systems in smart buildings under heterogeneous building environments while preserving the privacy of buildings’ energy consumption.