Distributed Data Mining (DDM) has been proposed as a means to deal with the analysis of distributed data, where DDM discovers patterns and implements prediction based on multiple distributed data sources. However, DDM faces several problems in terms of autonomy, privacy, performance and implementation. DDM requires homogeneity regarding environment, control, administration and the classification algorithm(s), and such that requirements are too strict and inflexible in many applications. In this paper, we propose the employment of a Multi-Agent System (MAS) to be combined with DDM (MAS-DDM). MAS is a mechanism for creating goal-oriented autonomous agents within shared environments with communication and coordination facilities. We shall show that MAS-DDM is both desirable and beneficial. In MAS-DDM, agents could communicate their beliefs (calculated classification) by covering private and non-sharable data, and other agents decide whether the use of such beliefs in classifying instances and adjusting their prior assumptions about each class of data. In MAS-DDM, we will develop and use a modified Naive Bayesian algorithm because (1) Naive Bayesian has been shown to be the most used algorithm to deal with uncertain data, and (2) to show that even if all agents in MAS-DDM use the same algorithm, MAS-DDM preforms better than DDM approaches with non-communicating processes. Point (2) provide an evidence that the exchange of information between agents helps in increasing the accuracy of the classification task significantly.