Electronic power grid is a distributed network used for transferring electricity and power from power plants to consumers. Based on sensor readings and control system signals, power grid states are measured and estimated. As a result, most conventional attacks, such as denial-of-service attacks and random attacks, could be found by using the Kalman filter. However, false data injection attacks are designed against state estimation models. Currently, distributed Kalman filtering is proved effective in sensor networks for detection and estimation problems. Since meters are distributed in smart power grids, distributed estimation models can be used. Thus in this paper, we propose a diffusion Kalman filter for the power grid to have a good performance in estimating models and to effectively detect false data injection attacks.