Federated learning is a distributed machine learning paradigm that enables collaborative training across multiple parties while ensuring data privacy. Gradient Boosting Decision Trees (GBDT), such as XGBoost, have gained popularity due to their high performance and strong interpretability. Therefore, there has been a growing interest in adapting XGBoost for use in federated settings via cryptographic techniques. However, it should be noted that these approaches may not always provide rigorous theoretical privacy guarantees, and they often come with a high computational cost in terms of time and space requirements. In this paper, we propose a variant of vertical federated XGBoost with bilateral differential privacy guarantee: MaskedXGBoost. We build well-calibrated noise to perturb the intermediate information to protect privacy. The noise is structured with part of its ingredients in the null space of the arithmetical operation for splitting score evaluation in XGBoost, helping us achieve consistently better utility than other perturbation methods and relatively lower overhead than encryption-based techniques. We provide theoretical utility analysis and empirically verify privacy preservation. Compared with other algorithms, our algorithm's superiority in both utility and efficiency has been validated on multiple datasets.