In a modern power system, real-time data on power generation/consumption and its relevant features are stored in various distributed parties, including household meters, transformer stations and external organizations. To fully exploit the underlying patterns of these distributed data for accurate power prediction, federated learning is needed as a collaborative but privacy-preserving training scheme. However, current federated learning frameworks are polarized towards addressing either the horizontal or vertical separation of data, and tend to overlook the case where both are present. Furthermore, in mainstream horizontal federated learning frameworks, only artificial neural networks are employed to learn the data patterns, which are considered less accurate and interpretable compared to tree-based models on tabular datasets. To this end, we propose a hybrid federated learning framework based on XGBoost, for distributed power prediction from real-time external features. In addition to introducing boosted trees to improve accuracy and interpretability, we combine horizontal and vertical federated learning, to address the scenario where features are scattered in local heterogeneous parties and samples are scattered in various local districts. Moreover, we design a dynamic task allocation scheme such that each party gets a fair share of information, and the computing power of each party can be fully leveraged to boost training efficiency. A follow-up case study is presented to justify the necessity of adopting the proposed framework. The advantages of the proposed framework in fairness, efficiency and accuracy performance are also confirmed.