Video super-resolution (VSR) aims to enhance low-resolution videos by leveraging both spatial and temporal information. While deep learning has led to impressive progress, it typically requires centralized data, which raises privacy concerns. Federated learning (FL) offers a privacy-friendly solution, but general FL frameworks often struggle with low-level vision tasks, resulting in blurry, low-quality outputs. To address this, we introduce FedVSR, the first FL framework specifically designed for VSR. It is architecture-agnostic and stateless, and introduces a lightweight loss function based on the Discrete Wavelet Transform (DWT) to better preserve high-frequency details during local training. Additionally, a loss-aware aggregation strategy combines both DWT-based and task-specific losses to guide global updates effectively. Extensive experiments across multiple VSR models and datasets show that FedVSR not only improves perceptual video quality (up to +0.89 dB PSNR, +0.0370 SSIM, -0.0347 LPIPS and 4.98 VMAF) but also achieves these gains with close to zero computation and communication overhead compared to its rivals. These results demonstrate Fed-VSR's potential to bridge the gap between privacy, efficiency, and perceptual quality, setting a new benchmark for federated learning in low-level vision tasks. Please refer to this link for the code. https://github.com/alimd94/FedVSR