I do not think anything is specifically built in, but there is support for spinning up (or connecting to existing) AWS instances. It would probably largely be a manual process of sharding your own data into whatever servers you want to use then training on that data local to each server.

There is an interesting open-source project called MathematicaForPrediction that supports training of ensembles of different types of models. But it does not really help with distributing your training to multiple nodes, as far as I know.