This paper presents ProFL, a novel progressive FL framework to effectively break the memory wall. Specifically, ProFL divides the model into different blocks based on its original architecture. Instead of updating the full model in each training round, ProFL first trains the front blocks and safely freezes them after convergence. Training of the next block is then triggered. This process iterates until the training of the whole model is completed. In this way, the memory footprint is effectively reduced for feasible deployment on heterogeneous devices. In order to preserve the feature representation of each block, we decouple the whole training process into two stages: progressive model shrinking and progressive model growing. During the progressive model shrinking stage, we meticulously design corresponding output modules to assist each block in learning the expected feature representation and obtain the initialization parameters. Then, the obtained output modules are utilized in the corresponding progressive model growing stage. Additionally, to control the training pace for each block, a novel metric from the scalar perspective is proposed to assess the learning status of each block and determines when to trigger the training of the next one. Finally, we theoretically prove the convergence of ProFL and conduct extensive experiments on representative models and datasets to evaluate the effectiveness of ProFL. The results demonstrate that ProFL effectively reduces the peak memory footprint by up to 57.4% and improves model accuracy by up to 82.4%.