The invention relates to the related field of machine learning of privacy protection, in particular to a vertical federated modeling method based on a LightGBM algorithm, which comprises vertical federated modeling preparation work, initiator P1 data preparation work, partner P0 data preparation work, model training work and model evaluation work. The invention provides a novel longitudinal federated learning system structure based on a tree model, the two parties are allowed to construct a joint training model on the premise of protecting data privacy, and the two parties are enabled to train the joint model without the help of a trusted coordinator, so that a gradient value is protected, and the security of a protocol is improved; the architecture of the method is easy to expand, and besides two-party model training, the architecture of the method supports multi-party joint modeling; and according to the longitudinal federation learning based on the lightGBM algorithm, safety, speed, accuracy, support category features and continuous features are comprehensively considered, a large amount of training data can be processed under the same data set and features, and the method is suitable for engineering.