Multi-modality learning has become a crucial technique for improving the performance of machine learning applications across domains such as autonomous driving, robotics, and perception systems. While existing frameworks such as Auxiliary Modality Learning (AML) effectively utilize multiple data sources during training and enable inference with reduced modalities, they primarily operate in a single-agent context. This limitation is particularly critical in dynamic environments, such as connected autonomous vehicles (CAV), where incomplete data coverage can lead to decision-making blind spots. To address these challenges, we propose Collaborative Auxiliary Modality Learning ($\textbf{CAML}$), a novel multi-agent multi-modality framework that enables agents to collaborate and share multimodal data during training while allowing inference with reduced modalities per agent during testing. We systematically analyze the effectiveness of $\textbf{CAML}$ from the perspective of uncertainty reduction and data coverage, providing theoretical insights into its advantages over AML. Experimental results in collaborative decision-making for CAV in accident-prone scenarios demonstrate that \ours~achieves up to a ${\bf 58.13}\%$ improvement in accident detection. Additionally, we validate $\textbf{CAML}$ on real-world aerial-ground robot data for collaborative semantic segmentation, achieving up to a ${\bf 10.61}\%$ improvement in mIoU.
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