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In recent years, Data Grid becomes a promising technology to collect geographically distributed storage resources and provide a large amount of storage capacity. Such resources include personal computers, clusters or high-end servers managed by different administrative domains. Although many production Data Grids have been developed for various usages, there remain no approaches to integrating them together. To solve the problem, we propose a federation middleware, called FedMi, to integrate heterogeneous Data Grids as a single Data Grid and provide users with a uniform access interface. In this paper, four issues, including interoperability among Data Grids, single sign-on, secure communication and high performance data transfer, are addressed. We also present the evaluation results of the approaches proposed to improve the performance of data transfer across Data Grids.