Downlink channel estimation remains a significant bottleneck in reconfigurable intelligent surface-assisted cell-free multiple-input multiple-output communication systems. Conventional approaches primarily rely on centralized deep learning methods to estimate the high-dimensional and complex cascaded channels. These methods require data aggregation from all users for centralized model training, leading to excessive communication overhead and significant data privacy concerns. Additionally, the large size of local learning models imposes heavy computational demands on end users, necessitating strong computational capabilities that most commercial devices lack. To address the aforementioned challenges, a coalition-formation-guided heterogeneous federated learning (FL) framework is proposed. This framework leverages coalition formation to guide the formation of heterogeneous FL user groups for efficient channel estimation. Specifically, by utilizing a distributed deep reinforcement learning (DRL) approach, each FL user intelligently and independently decides whether to join or leave a coalition, aiming at improving channel estimation accuracy, while reducing local model size and computational costs for end users. Moreover, to accelerate the DRL-FL convergence process and reduce computational burdens on end users, a transfer learning method is introduced. This method incorporates both received reference signal power and distance similarity metrics, by considering that nodes with similar distances to the base station and comparable received signal power have a strong likelihood of experiencing similar channel fading. Massive experiments performed that reveal that, compared with the benchmarks, the proposed framework significantly reduces the computational overhead of end users by 16%, improves data privacy, and improves channel estimation accuracy by 20%.