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 model-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 FedVSR's potential to bridge the gap between privacy, efficiency, and perceptual quality, setting a new benchmark for federated learning in low-level vision tasks. The code is available at: https://github.com/alimd94/FedVSR