Abstract Federated learning (FL) enables collaborative analysis of decentralized medical data while preserving patient privacy. However, the covariate shift from demographic and clinical differences can reduce model generalizability. We propose FedWeight, a novel FL framework that mitigates covariate shift by reweighting patient data from the source sites using density estimators, allowing the trained model to better align with the distribution of the target site. To support unsupervised applications, we introduce FedWeight ETM, a federated embedded topic model. We evaluated FedWeight in cross-site FL on the eICU dataset and cross-dataset FL between eICU and MIMIC III. FedWeight consistently outperforms standard FL baselines in predicting ICU mortality, ventilator use, sepsis diagnosis, and length of stay. SHAP-based interpretation and ETM-based topic modeling reveal improved identification of clinically relevant characteristics and disease topics associated with ICU readmission.