Federated learning enables distributed devices to collaboratively learn a shared prediction model without centralizing on-device training data. Most of the current algorithms require comparable individual efforts to train on-device models with the same structure and size, impeding participation from resource-constrained devices. Given the widespread yet heterogeneous devices nowadays, this paper proposes a new framework supporting federated learning across heterogeneous on-device models via Zero-shot Knowledge Transfer, named by FedZKT. Specifically, FedZKT allows participating devices to independently determine their on-device models. To transfer knowledge across on-device models, FedZKT develops a zero-shot distillation approach contrary to certain prior research based on a public dataset or a pre-trained data generator. To utmostly reduce on-device workload, the resource-intensive distillation task is assigned to the server, which constructs a generator to adversarially train with the ensemble of the received heterogeneous on-device models. The distilled central knowledge will then be sent back in the form of the corresponding on-device model parameters, which can be easily absorbed at the device side. Experimental studies demonstrate the effectiveness and the robustness of FedZKT towards heterogeneous on-device models and challenging federated learning scenarios, such as non-iid data distribution and straggler effects.