With the development of modern internet techniques, Cross-Domain Recommendation (CDR) systems have been widely exploited for tackling the data-sparsity problem. Meanwhile most current CDR models assume that user-item interactions are accessible across different domains. However, such knowledge sharing process will break the privacy protection policy. In this paper, we focus on the Privacy-Preserving Multi-Domain Recommendation problem (PPMDR). The problem is challenging since different domains are sparse and heterogeneous with the privacy protection. To tackle the above issues, we propose Federated Probabilistic Preference Distribution Modelling (FPPDM). FPPDM includes two main components, i.e., local domain modelling component and global server aggregation component with federated learning strategy. The local domain modelling component aims to exploit user/item preference distributions using the rating information in the corresponding domain. The global server aggregation component is set to combine user characteristics across domains. To better extract semantic neighbors information among the users, we further provide compactness co-clustering strategy in FPPDM ++ to cluster the users with similar characteristics. Our empirical studies on benchmark datasets demonstrate that FPPDM/ FPPDM ++ significantly outperforms the state-of-the-art models.