The digital elevation model (DEM) provides important data support for 3D terrain modeling. However, due to the complex and changeable terrain in the real world and the high cost of field measurement, it is extremely difficult to obtain continuous and high-density elevation data directly. Therefore, it is necessary to rely on spatial interpolation technology to restore the DEM overall picture in the original sampling area. The traditional spatial interpolation method usually has the characteristics of low model complexity and high computational cost, which leads to low real-time performance and low precision of the interpolation process. The interpolation operation based on DEM data can be considered as a special image generation process where the input is a DEM image with missing values and the output is a complete DEM image. At present, a large number of studies have proved that deep learning methods are very effective in image generation tasks. However, the training of deep learning models requires the support of a large number of high-quality data sets. DEM data in various countries, especially in key regions, are usually restricted by privacy protection regulations and cannot be disclosed. The emergence of Federated Learning (FL) provides a new solution, which supports local training on multiple end nodes, without sending local data to a remote center server for centralized training, effectively protecting data privacy. In this study, we propose a DEM interpolation model based on FL and multiScale U-Net. The experimental results show that compared with the traditional method, this model has faster processing speed and lower interpolation precision. At the same time, this research result provides a new way for efficient and secure use of terrain information, especially in those application scenarios that have strict requirements for DEM data privacy and security.