Spatio-temporal mobility modeling plays a pivotal role in the advancement of mobile computing. Nowadays, data is frequently held by various distributed silos, which are isolated from each other and confront limitations on data sharing. Given this, there have been some attempts to introduce federated learning into spatio-temporal mobility modeling. Meanwhile, the distributional heterogeneity inherent in the spatio-temporal data also puts forward requirements for model personalization. However, the existing methods tackle personalization in a model-centric manner and fail to explore the data characteristics in various data silos, thus ignoring the fact that the fundamental cause of insufficient personalization in the model is the heterogeneous distribution of data. In this paper, we propose a novel distribution-oriented personalized Federated learning framework for Cross-silo Spatio-Temporal mobility modeling (named FedCroST), that leverages learnable spatio-temporal prompts to implicitly represent the local data distribution patterns of data silos and guide the local models to learn the personalized information. Specifically, we focus on the potential characteristics within temporal distribution and devise a conditional diffusion module to generate temporal prompts that serve as guidance for the evolution of the time series. Simultaneously, we emphasize the structure distribution inherent in node neighborhoods and propose adaptive spatial structure partition to construct the spatial prompts, augmenting the spatial information representation. Furthermore, we introduce a denoising autoencoder to effectively harness the learned multi-view spatio-temporal features and obtain personalized representations adapted to local tasks. Our proposal highlights the significance of latent spatio-temporal data distributions in enabling personalized federated spatio-temporal learning, providing new insights into modeling spatio-temporal mobility in data silo scenarios. Extensive exper...