The ubiquitous smart meters are expected to be a central feature of future smart grids because they enable the collection of massive amounts of fine-grained consumption data to support demand-side flexibility. However, current smart meters are not smart enough. They can only perform basic data collection and communication functions and cannot carry out on-device intelligent data analytics due to hardware constraints in terms of memory, computation, and communication capacity. Moreover, privacy concerns have hindered the utilization of data from distributed smart meters. Here, we present an end-edge-cloud federated split learning framework to enable collaborative model training on resource-constrained smart meters with the assistance of edge and cloud servers in a resource-efficient and privacy-enhancing manner. The proposed method is validated on a hardware platform to conduct building and household load forecasting on smart meters that only have 192 KB of static random-access memory (SRAM). We show that the proposed method can reduce the memory footprint by 95.5%, the training time by 94.8%, and the communication burden by 50% under the distributed learning framework and can achieve comparable or superior forecasting accuracy to that of conventional methods trained on high-capacity servers.