Federated Learning (FL) provides a strong privacy guarantee by enabling local training across edge devices without training data sharing, and Federated Adversarial Training (FAT) further enhances the robustness against adversarial examples, promoting a step toward trustworthy artificial intelligence. However, FAT requires a large model to preserve high accuracy while achieving strong robustness, and it is impractically slow when directly training with memory-constrained edge devices due to the memory-swapping latency. Moreover, existing memory-efficient FL methods suffer from poor accuracy and weak robustness in FAT because of inconsistent local and global models, i.e., objective inconsistency. In this paper, we propose FedProphet, a novel FAT framework that can achieve memory efficiency, adversarial robustness, and objective consistency simultaneously. FedProphet partitions the large model into small cascaded modules such that the memory-constrained devices can conduct adversarial training module-by-module. A strong convexity regularization is derived to theoretically guarantee the robustness of the whole model, and we show that the strong robustness implies low objective inconsistency in FedProphet. We also develop a training coordinator on the server of FL, with Adaptive Perturbation Adjustment for utility-robustness balance and Differentiated Module Assignment for objective inconsistency mitigation. FedProphet empirically shows a significant improvement in both accuracy and robustness compared to previous memory-efficient methods, achieving almost the same performance of end-to-end FAT with 80% memory reduction and up to 10.8x speedup in training time.