We study stochastic gradient descent (SGD) with local iterations in the presence of Byzantine clients, motivated by the federated learning. The clients, instead of communicating with the server in every iteration, maintain their local models, which they update by taking several SGD iterations based on their own datasets and then communicate the net update with the server, thereby achieving communication-efficiency. Furthermore, only a subset of clients communicates with the server at synchronization times. The Byzantine clients may collude and send arbitrary vectors to the server to disrupt the learning process. To combat the adversary, we employ an efficient high-dimensional robust mean estimation algorithm at the server to filter-out corrupt vectors; and to analyze the outlier-filtering procedure, we develop a novel matrix concentration result that may be of independent interest. We provide convergence analyses for both strongly-convex and non-convex smooth objectives in the heterogeneous data setting. We believe that ours is the first Byzantine-resilient local SGD algorithm and analysis with non-trivial guarantees. We corroborate our theoretical results with preliminary experiments for neural network training.