In deep reinforcement learning, building policies of high-quality is challenging when the feature space of states is small and the training data is limited. Despite the success of previous transfer learning approaches in deep reinforcement learning, directly transferring data or models from an agent to another agent is often not allowed due to the privacy of data and/or models in many privacy-aware applications. In this paper, we propose a novel deep reinforcement learning framework to federatively build models of high-quality for agents with consideration of their privacies, namely Federated deep Reinforcement Learning (FedRL). To protect the privacy of data and models, we exploit Gausian differentials on the information shared with each other when updating their local models. In the experiment, we evaluate our FedRL framework in two diverse domains, Grid-world and Text2Action domains, by comparing to various baselines.