The deep integration of industrial internet of things technologies in the industrial smart grid (ISG) brings many privacy and security attacks, threatening the trustworthiness of underlying system infrastructures and associated services. That, in turn, raises the necessity for anomaly detection staged by appropriate authorities. Deep learning can provide a promising solution for anomaly detection, but it remains untrustworthy as it fails to do well with small-size labeled data and class-imbalanced data. To solve these issues, this article introduces a novel privacy-preserving federated semisupervised class-rebalanced (Fed-SCR) framework for the detection of anomalous power data in fog-assisted smart grids. Fed-SCR introduces a semisupervised generative network to enhance the quality of generated minority samples and model the relationships between labeled and unlabeled data. Moreover, the generator and discriminator are block-structured leveraging temporal convolutions to improve the representation power during the training. A novel aggregation scheme [termed federated geometric median aggregation (Fed-GMA)] is also introduced based on selective and periodic geometric-median-based aggregation with the main aim to increase the robustness of the federated semi supervised class-rebalanced (Fed-SRC) against noisy gradients while maintaining communication efficiency. The evaluations of Fed-SCR on public power grid datasets reveal its efficiency in improving the trustworthiness of the ISG platform, outperforming the competing methods in terms of binary classification (accuracy: 97.28) and multiclass classification (accuracy: 96.36–95.04).