Although Machine Learning can be seen as a promising tool to improve clinical decision-making, it remains limited by access to healthcare data. Healthcare data is sensitive, requiring strict privacy practices, and typically stored in data silos, making traditional Machine Learning challenging. Federated Learning can counteract those limitations by training Machine Learning models over data silos while keeping the sensitive data localized. This study proposes a Federated Learning workflow for Intensive Care Unit mortality prediction. Hereby, the applicability of Federated Learning as an alternative to Centralized Machine Learning and Local Machine Learning is investigated by introducing Federated Learning to the binary classification problem of predicting Intensive Care Unit mortality. We extract multivariate time series data from the MIMIC-III database (lab values and vital signs), and benchmark the predictive performance of four deep sequential classifiers (FRNN, LSTM, GRU, and 1DCNN) varying the patient history window lengths (8h, 16h, 24h, and 48h) and the number of Federated Learning clients (2, 4, and 8). The experiments demonstrate that both Centralized Machine Learning and Federated Learning are comparable in terms of AUPRC and F1-score. Furthermore, the federated approach shows superior performance over Local Machine Learning. Thus, Federated Learning can be seen as a valid and privacy-preserving alternative to Centralized Machine Learning for classifying Intensive Care Unit mortality when the sharing of sensitive patient data between hospitals is not possible.