As one of the important research topics in the field of natural language processing, sentiment analysis aims to analyze web data related to COVID-19, e.g., supporting China government agencies combating COVID-19. There are popular sentiment analysis models based on deep learning techniques, but their performance is limited by the size and distribution of the dataset. In this study, we propose a model based on a federal learning framework with Bert and multi-scale convolutional neural network (Fed_BERT_MSCNN), which contains a Bidirectional Encoder Representations from Transformer modules and a multi-scale convolution layer. The federal learning framework contains a central server and local deep learning machines that train local datasets. Parameter communications were processed through edge networks. The weighted average of each participant’s model parameters was communicated in the edge network for final utilization. The proposed federal network not only solves the problem of insufficient data, but also ensures the data privacy of the social platform during the training process and improve the communication efficiency. In the experiment, we used datasets of six social platforms, and used accuracy and F1-score as evaluation criteria to conduct comparative studies. The performance of the proposed Fed_BERT_MSCNN model was generally superior than the existing models in the literature.