Knowledge graphs (KGs) consisting of triples are always incomplete, so its important to do Knowledge Graph Completion (KGC) by predicting missing triples. Multi-Source KG is a common situation in real KG applications which can be viewed as a set of related individual KGs where different KGs contains relations of different aspects of entities. Its intuitive that, for each individual KG, its completion could be greatly contributed by the triples defined and labeled in other ones. However, because of the data privacy and sensitivity, a set of relevant knowledge graphs cannot complement each others KGC by just collecting data from different knowledge graphs together. Therefore, in this paper, we introduce federated setting to keep their privacy without triple transferring between KGs and apply it in embedding knowledge graph, a typical method which have proven effective for KGC in the past decade. We propose a Federated Knowledge Graph Embedding framework FedE, focusing on learning knowledge graph embeddings by aggregating locally-computed updates. Finally, we conduct extensive experiments on datasets derived from KGE benchmark datasets and results show the effectiveness of our proposed FedE.