Long-term trajectory forecasting is an important and challenging problem in the fields of computer vision, machine learning, and robotics. One fundamental difficulty stands in the evolution of the trajectory that becomes more and more uncertain and unpredictable as the time horizon grows, subsequently increasing the complexity of the problem. To overcome this issue, in this paper, we propose Di-Long, a new method that employs the distillation of a short-term trajectory model forecaster that guides a student network for long-term trajectory prediction during the training process. Given a total sequence length that comprehends the allowed observation for the student network and the complementary target sequence, we let the student and the teacher solve two different related tasks defined over the same full trajectory: the student observes a short sequence and predicts a long trajectory, whereas the teacher observes a longer sequence and predicts the remaining short target trajectory. The teacher's task is less uncertain, and we use its accurate predictions to guide the student through our knowledge distillation framework, reducing long-term future uncertainty. Our experiments show that our proposed Di-Long method is effective for long-term forecasting and achieves state-of-the-art performance on the Intersection Drone Dataset (inD) and the Stanford Drone Dataset (SDD).