Native ad is a popular type of online advertisement which has similar forms with the native content displayed on websites. Native ad click-through rate (CTR) prediction is useful for improving user experience and platform revenue. However, it is challenging due to the lack of explicit user intent, and user behaviors on the platform with native ads may be insufficient to infer users’ interest in ads. Fortunately, user behaviors exist on many online platforms which can provide complementary information for user interest mining. Thus, leveraging multi-platform user behaviors is useful for native ad CTR prediction. However, user behaviors are highly privacy-sensitive, and the behavior data on different platforms cannot be directly aggregated due to user privacy concerns and data protection regulations. Existing CTR prediction methods usually require centralized storage of user behavior data for user modeling, which cannot be directly applied to the CTR prediction task with multi-platform user behaviors. In this paper, we propose a federated native ad CTR prediction method named FedCTR, which can learn user interest representations from cross-platform user behaviors in a privacy-preserving way. On each platform a local user model learns user embeddings from the local user behaviors on that platform. The local user embeddings from different platforms are uploaded to a server for aggregation, and the aggregated ones are sent to the ad platform for CTR prediction. Besides, we apply local differential privacy (LDP) and differential privacy (DP) to the local and aggregated user embeddings respectively for better privacy protection. Moreover, we propose a federated framework for collaborative model training with distributed models and user behaviors. Extensive experiments on real-world dataset show that FedCTR can effectively leverage multi-platform user behaviors for native ad CTR prediction in a privacy-preserving manner.