While developing artificial intelligence (AI)-based algorithms to solve problems, the amount of data plays a pivotal role - large amount of data helps the researchers and engineers to develop robust AI algorithms. In the case of building AI-based models for problems related to medical imaging, these data need to be transferred from the medical institutions where they were acquired to the organizations developing the algorithms. This movement of data involves time-consuming formalities like complying with HIPAA, GDPR, etc.There is also a risk of patients' private data getting leaked, compromising their confidentiality. One solution to these problems is using the Federated Learning framework. Federated Learning (FL) helps AI models to generalize better and create a robust AI model by using data from different sources having different distributions and data characteristics without moving all the data to a central server. In our paper, we apply the FL framework for training a deep learning model to solve a binary classification problem of predicting the presence or absence of COVID-19. We took three different sources of data and trained individual models on each source. Then we trained an FL model on the complete data and compared all the model performances. We demonstrated that the FL model performs better than the individual models. Moreover, the FL model performed at par with the model trained on all the data combined at a central server. Thus Federated Learning leads to generalized AI models without the cost of data transfer and regulatory overhead.