Lifelong machine learning methods acquire knowledge over a series of consecutive tasks, continually building upon their experience. Current lifelong learning algorithms rely upon a single learning agent that has centralized access to all data. In this paper, we extend the idea of lifelong learning from a single agent to a network of multiple agents that collectively learn a series of tasks. Each agent faces some (potentially unique) set of tasks; the key idea is that knowledge learned from these tasks may benefit other agents trying to learn different (but related) tasks. Our Collective Lifelong Learning Algorithm (CoLLA) provides an efficient way for a network of agents to share their learned knowledge in a distributed and decentralized manner, while preserving the privacy of the locally observed data. We provide theoretical guarantees for robust performance of the algorithm and empirically demonstrate that CoLLA outperforms existing approaches for distributed multi-task learning on a variety of data sets.