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Federated sampling algorithms have recently gained great popularity in the community of machine learning and statistics. This paper proposes a new federated sampling algorithm called Error Feedback Langevin algorithms (ELF). In particular, we analyze the combinations of EF21 and EF21-P with the federated Langevin Monte-Carlo. We propose three algorithms, P-ELF, D-ELF, and B-ELF, that use primal, dual, and bidirectional compressors. We analyze the proposed methods under Log-Sobolev inequality and provide non-asymptotic convergence guarantees. Simple experimental results support our theoretical findings.