In the era of big data, advanced data processing devices and smart sensors greatly benefit us in many areas. As for each individual user, data sharing can be an essential part of the process of data collection and transmission. However, the issue of constant attacks on data privacy arouses huge concerns among the public. This work proposes a personalized federated learning method associated with correlated differential privacy for autonomous driving. First, instead of transmitting raw data to the server following collection, a device that employs federated learning can perform calculations to obtain the training model at each node. Second, we specifically perform a correlated classification analysis to encrypt data that share high relevance, which can minimize the system cost. Then, correlated differential privacy is utilized to achieve the preservation of data privacy before sharing. In contrast to the traditional differential privacy, the proposed solution guarantees enhanced privacy to meet the demands of customization. The experimental results show that our scheme is more refined in terms of user heterogeneity and the utility of data than others without violating privacy.