Nowadays, smart meters are deployed in millions of residential households to gain significant insights from fine-grained electricity consumption data. The information extracted from smart meter data enables utilities to identify the socio-demographic characteristics of electricity consumers and then offer them diversified services. Traditionally, this task is implemented in a centralized manner with the assumption that utilities have access to all the smart meter data. However, smart meter data are measured and owned by different retailers in the retail market who may not be willing to share their data. To this end, a distributed electricity consumer characteristics identification method is proposed based on federated learning, which can preserve the privacy of retailers. Specifically, privacy-perseverance principal component analysis (PCA) is exploited to extract features from smart meter data. On this basis, an artificial neural network is trained in a federated manner with three weighted averaging strategies to bridge between smart meter data and the socio-demographic characteristics of consumers. Case studies on the Irish Commission for Energy Regulation (CER) dataset verify that the proposed federated method has comparable performance with the centralized model on both balanced and unbalanced datasets.