With strict protections and regulations of data privacy and security, conventional machine learning based on centralized datasets is confronted with significant challenges, making artificial intelligence (AI) impractical in many mission-critical and data-sensitive scenarios, such as finance, government, and health. In the meantime, tremendous datasets are scattered in isolated silos in various industries, organizations, different units of an organization, or different branches of an international organization. These valuable data resources are well underused. To advance AI theories and applications, we propose a comprehensive framework (called Knowledge Federation - KF) to address these challenges by enabling AI while preserving data privacy and ownership. Beyond the concepts of federated learning and secure multi-party computation, KF consists of four levels of federation: (1) information level, low-level statistics and computation of data, meeting the requirements of simple queries, searching and simplistic operators; (2) model level, supporting training, learning, and inference; (3) cognition level, enabling abstract feature representation at various levels of abstractions and contexts; (4) knowledge level, fusing knowledge discovery, representation, and reasoning. We further clarify the relationship and differentiation between knowledge federation and other related research areas. We have developed a reference implementation of KF, called iBond Platform, to offer a production-quality KF platform to enable industrial applications in finance, insurance et al. The iBond platform will also help establish the KF community and a comprehensive ecosystem and usher in a novel paradigm shift towards secure, privacy-preserving and responsible AI. As far as we know, knowledge federation is the first hierarchical and unified framework for secure multi-party computing and learning.