In fact, multiple clients often use similar devices and collect fault data separately, so joint multi-client collaborative fault diagnosis modeling can solve the problem of data scarcity, but this poses great challenges to data privacy protection. In this paper, we propose a federated transfer fault diagnosis method based on federated learning for cross-domain incomplete data. The proposed method only exchanges the parameters of the local training model, which achieves the privacy protection of the client’s local data. We construct a multi-client collaborative learning framework to address the problem of weak generalization ability caused by the lack of terms in single client training samples. We also propose a targeted semi-supervised fine-tuning strategy based on relative distance to reduce the probability of negative fine-tuning of out-of-distribution samples and improve the accuracy of diagnostic models. The results of cross-condition and cross-equipment experiments demonstrate that the proposed method has obvious advantages over the existing fault diagnosis methods.