Applying knowledge distillation to personalized cross-silo federated learning can well alleviate the problem of user heterogeneity. This approach, however, requires a proxy dataset, which is difficult to obtain in the real world. Moreover, the global model based on parameter averaging will lead to the leakage of user privacy. We introduce a distributed three-player GAN to implement datafree co-distillation between clients. This technique mitigates the user heterogeneity problem and better protects user privacy. We confirmed that thefake samples generated by GAN can make federated distillation more efficient and robust, and the co-distillation can achieve good performance for individual clients on the basis of obtaining global knowledge. Our extensive experiments on benchmark datasets demonstrate the superior generalization performance of the proposed methods, compared with the state-of-the-art.