The rapid growth of wearable sensor technologies holds substantial promise for the field of personalized and context-aware Human Activity Recognition. Given the inherently decentralized nature of data sources within this domain, the utilization of multi-agent systems with their inherent decentralization capabilities presents an opportunity to facilitate the development of scalable, adaptable, and privacy-conscious methodologies. This paper introduces a collaborative distributed learning approach rooted in multi-agent principles, wherein individual users of sensor-equipped devices function as agents within a distributed network, collectively contributing to the comprehensive process of learning and classifying human activities. In this proposed methodology, not only is the privacy of activity monitoring data upheld for each individual, eliminating the need for an external server to oversee the learning process, but the system also exhibits the potential to surmount the limitations of conventional centralized models and adapt to the unique attributes of each user. The proposed approach has been empirically tested on two publicly accessible human activity recognition datasets, specifically PAMAP2 and HARTH, across varying settings. The provided empirical results conclusively highlight the efficacy of inter-individual collaborative learning when contrasted with centralized configurations, both in terms of local and global generalization.