Personalized federated learning (PFL) learns a personalized model for each client in a decentralized manner, where each client owns private data that are not shared and data among clients are non-independent and identically distributed (i.i.d.) However, existing PFL solutions assume that clients have sufficient training samples to jointly induce personalized models. Thus, existing PFL solutions cannot perform well in a few-shot scenario, where most or all clients only have a handful of samples for training. Furthermore, existing few-shot learning (FSL) approaches typically need centralized training data; as such, these FSL methods are not applicable in decentralized scenarios. How to enable PFL with limited training samples per client is a practical but understudied problem. In this article, we propose a solution called personalized federated few-shot learning (pFedFSL) to tackle this problem. Specifically, pFedFSL learns a personalized and discriminative feature space for each client by identifying which models perform well on which clients, without exposing local data of clients to the server and other clients, and which clients should be selected for collaboration with the target client. In the learned feature spaces, each sample is made closer to samples of the same category and farther away from samples of different categories. Experimental results on four benchmark datasets demonstrate that pFedFSL outperforms competitive baselines across different settings.