Federated learning (FL) enables the collaboration of multiple deep learning models to learn from decentralized data archives (i.e., clients) without accessing data on clients. Although FL offers ample opportunities in knowledge discovery from distributed image archives, it is seldom considered in remote sensing (RS). In this paper, as a first time in RS, we present a comparative study of state-of-the-art FL algorithms. To this end, we initially provide a systematic review of the FL algorithms presented in the computer vision community for image classification problems, and select several state-of-the-art FL algorithms based on their effectiveness with respect to training data heterogeneity across clients (known as non-IID data). After presenting an extensive overview of the selected algorithms, a theoretical comparison of the algorithms is conducted based on their: 1) local training complexity; 2) aggregation complexity; 3) learning efficiency; 4) communication cost; and 5) scalability in terms of number of clients. As the classification task, we consider multi-label classification (MLC) problem since RS images typically consist of multiple classes, and thus can simultaneously be associated with multi-labels. After the theoretical comparison, experimental analyses are presented to compare them under different decentralization scenarios in terms of MLC performance. Based on our comprehensive analyses, we finally derive a guideline for selecting suitable FL algorithms in RS. The code of this work will be publicly available at this https URL.