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This paper presents a novel federated reinforcement learning (Fed-RL) methodology to enhance the cyber resiliency of networked microgrids. We formulate a resilient reinforcement learning (RL) training setup which (a) generates episodic trajectories injecting adversarial actions at primary control reference signals of the grid forming (GFM) inverters and (b) trains the RL agents (or controllers) to alleviate the impact of the injected adversaries. To circumvent data-sharing issues and concerns for proprietary privacy in multi-party-owned networked grids, we bring in the aspects of federated machine learning and propose a novel Fed-RL algorithm to train the RL agents. To this end, the conventional horizontal Fed-RL approaches using decoupled independent environments fail to capture the coupled dynamics in a networked microgrid, which leads us to propose a multi-agent vertically federated variation of actor-critic algorithms, namely federated soft actor-critic (FedSAC) algorithm. We created a customized simulation setup encapsulating microgrid dynamics in the GridLAB-D/HELICS co-simulation platform compatible with the OpenAI Gym interface for training RL agents. Finally, the proposed methodology is validated with numerical examples of modified IEEE 123-bus benchmark test systems consisting of three coupled microgrids.