Federated Learning (FL) has emerged as the tool of choice for training deep models over heterogeneous and decentralized datasets. As a reflection of the experiences from different clients, severe class imbalance issues are observed in real-world FL problems.Moreover, there exists a drastic mismatch between the imbalances from the local and global perspectives, i.e. a local majority class can be the minority of the population. Additionally, the privacy requirement of FL poses an extra challenge, as one should handle class imbalance without identifying the minority class. In this paper we propose a novel agnostic constrained learning formulation to tackle the class imbalance problem in FL, without requiring further information beyond the standard FL objective. A meta algorithm, CLIMB, is designed to solve the target optimization problem, with its convergence property analyzed under certain oracle assumptions. Through an extensive empirical study over various data heterogeneity and class imbalance configurations, we showcase that CLIMB considerably improves the performance in the minority class without compromising the overall accuracy of the classifier, which significantly outperforms previous arts. In fact, we observe the greatest performance boost in the most difficult scenario where every client only holds data from one class. The code can be found here https://github.com/shenzebang/Federated-Learning-Pytorch.