Centralized particle swarm optimization (PSO) does not fully exploit the potential of distributed or parallel computing and suffers from single-point-of-failure. Particularly, each particle in PSO comprises a potential solution (e.g., traveling route and neural network model parameters) which is essentially viewed as private data. Unfortunately, previously neither centralized nor distributed PSO algorithms fail to protect privacy effectively. Inspired by secure multiparty computation and multiagent system, this article proposes a privacy-preserving multiagent PSO algorithm (called PriMPSO) to protect each particle's data and enable private data sharing in a privacy-preserving manner. The goal of PriMPSO is to protect each particle's data in a distributed computing paradigm via existing PSO algorithms with competitive performance. Specifically, each particle is executed by an independent agent with its own data, and all agents jointly perform global optimization without sacrificing any particle's data. Thorough investigations show that selecting an exemplar from all particles and updating particles through the exemplar are critical operations for PSO algorithms. To this end, this article designs a privacy-preserving exemplar selection algorithm and a privacy-preserving triple computation protocol to select exemplars and update particles, respectively. Strict privacy analyses and extensive experiments on a benchmark and a realistic task confirm that PriMPSO not only protects particles' privacy but also has uniform convergence performance with the existing PSO algorithm in approximating an optimal solution.