|UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


FORM 10-Q


[X]      
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934


For the quarterly period ended March 31, 2003 Commission file number 0-37053


FIRST FEDERAL
BANCSHARES, INC. (Exact name of
registrant as specified in its charter)
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|Delaware(State or other jurisdiction of incorporation or organization) | 37-1397683(IRS Employer
Identification No.)
|---------------------------------------------------------------------- | -------------------------------------------

|109 East Depot Street,
Colchester, Illinois 62326 (Address of Principal
Executive Offices) (Zip Code)

(309) 776-3225(Registrants telephone number, including area code)


Indicate by check mark whether the
registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period
that the registrant was required to file such reports) and (2) has been subject to such
filing requirements for the past 90 days. Yes [ X ] No [ ]


Indicate by check mark whether the  registrant  is an  accelerated
filer (as defined in Rule 12b-2 of the Exchange Act).  Yes  [ ]       No [ X ]


State the number of shares
outstanding of each of the issuers classes of common equity as of the latest
practicable date.


      As of May 1, 2003 the
        Registrant had outstanding 2,066,477 shares of common stock.
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

---

|FIRST FEDERAL
BANCSHARES, INC.


Form 10-Q Quarterly Report


Index
|-------------------------------------------------------------------

|                               |                                                                                          | Page
|------------------------------ | ---------------------------------------------------------------------------------------- | ----
|PART I  Financial Information
|                              
|Item 1                         | Financial Statements                                                                     | 1   
|                              
|Item 2                         | Managements Discussion and Analysis of Financial Condition and    Results of Operations | 8   
|                              
|Item 3                         | Quantitative and Qualitative Disclosures About Market Risk                               | 10  
|                              
|Item 4                         | Controls and Procedures                                                                  | 12  
|                              
|PART II  Other Information   
|                              
|Item 1                         | Legal Proceedings                                                                        | 13  
|                              
|Item 2                         | Changes in Securities and Use of Proceeds                                                | 13  
|                              
|Item 3                         | Defaults Upon Senior Securities                                                          | 13  
|                              
|Item 4                         | Submission of Matters to a Vote of Securities Holders                                    | 13  
|                              
|Item 5                         | Other Information                                                                        | 13  
|                              
|Item 6                         | Exhibits and Reports on Form 8-K                                                         | 13  
|                              
|SIGNATURES                     |                                                                                          | 14  
|CERTIFICATIONS                 |                                                                                          | 15  

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PART I - FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

First Federal Bancshares, Inc. and Subsidiary
Consolidated Statements of Financial Condition (in thousands of dollars,
except share data) (unaudited)

|                                                                 | March 31,2003 |  | December 31,2002 |        
|---------------------------------------------------------------- | ------------- |  | ---------------- | -------
|                                                                 |               |  |                  |        
|ASSETS                                                           |               |  |                  |        
|Cash and cash equivalents                                        |               |  | $                | 43,446 
|Time deposits in other financial institutions                    |               |  |                  | 295    
|Securities available-for-sale                                    |               |  |                  | 126,736
|Securities held-to-maturity (fair value:                         |               | 
|December 31 - $24,764)                                           |               |  |                  |       
|Loans receivable, net                                            |               |  |                  | 140,510
|Real estate owned, net                                           |               |  |                  | 133    
|Premises and equipment                                           |               |  |                  | 3,540  
|Accrued interest receivable                                      |               |  |                  | 1,713  
|Goodwill                                                         |               |  |                  | 1,515  
|Core deposits and other intangibles                              |               |  |                  | 318    
|Other assets                                                     |               |  |                  | 285    
|                                                                 |               |  |                  |        
|TOTAL ASSETS                                                     |               |  | $                | 318,491
|                                                                 |               |  |                  |        
|LIABILITIES AND SHAREHOLDERS EQUITY                             |               | 
|LIABILITIES                                                      |               | 
|Deposits                                                         |               |  | $                | 265,386
|Advances from borrowers for taxes and insurance                  |               |  |                  | 294    
|Federal Home Loan Bank advances                                  |               |  |                  | 4,000  
|Accrued interest payable                                         |               |  |                  | 592    
|Other liabilities                                                |               |  |                  | 537    
|                                                                 |               |  |                  |        
|Total liabilities                                                |               |  |                  | 270,809
|SHAREHOLDERS EQUITY                                             |               | 
|Preferred stock, $.01 par value, 1,000,000 shares authorized;    |               | 
|none issued or outstanding                                       |               |  |                  |       
|Common stock, $.01 par value, 4,000,000 shares authorized;       |               | 
|2,242,500 shares issued                                          |               |  |                  | 22     
|Additional paid-in capital                                       |               |  |                  | 22,636 
|Unearned ESOP shares                                             |               |  |                  | (1,346 
|Unearned stock awards                                            |               |  |                  | (948   
|Treasury stock (March 31 - 176,023 shares,December 31 - 180,557) |               |  |                  | (3,191 
|Retained earnings                                                |               |  |                  | 28,553 
|Accumulated other comprehensive income                           |               |  |                  | 1,956  
|                                                                 |               |  |                  |        
|Total shareholders equity                                       |               |  |                  | 47,682 
|                                                                 |               |  |                  |        
|TOTAL LIABILITIES AND SHAREHOLDERS EQUITY                       |               |  | $                | 318,491
|                                                                 |               |  |                  |        

See
notes to consolidated financial statements.

1

---

First Federal Bancshares, Inc.
and Subsidiary Consolidated Statements of Income (in thousands of dollars, except share
data) (unaudited)

|                                        | Three Months
Ended March 31,
|--------------------------------------- | ----------------------------
|                                        |                             
|
|                                        |                             
|Interest income                         |                             
|Loans                                   |                             
|Securities                              |                             
|Other interest income                   |                             
|                                        |                             
|Total interest income                   |                             
|Interest expense                        |                             
|Deposits                                |                             
|Federal Home Loan Bank advances         |                             
|                                        |                             
|Total interest expense                  |                             
|                                        |                             
|                                       
|Net interest income                     |                             
|                                       
|Provision for loan losses               |                             
|                                        |                             
|Net interest income after provision for |                             
|loan losses                             |                             
|Noninterest income                      |                             
|Service charges                         |                             
|Other fee income                        |                             
|Net gain on sale of securities          |                             
|Other income                            |                             
|                                        |                             
|Total noninterest income                |                             
|Noninterest expense                     |                             
|Compensation and benefits               |                             
|Occupancy and equipment                 |                             
|Data processing                         |                             
|Federal insurance premiums              |                             
|Advertising                             |                             
|Professional fees                       |                             
|Other noninterest expenses              |                             
|                                        |                             
|Total noninterest expense               |                             
|                                        |                             
|Income before income taxes              |                             
|Provision for income taxes              |                             
|                                        |                             
|Net income                              |                             
|                                        |                             
|Earnings per share                      |                             
|Basic                                   |                             
|Diluted                                 |                             
|Weighted average shares                 |                             
|Comprehensive income                    |                             
|                                        |                             

See
notes to consolidated financial statements.

2

---

First Federal Bancshares, Inc.
and Subsidiary Consolidated Statements of Shareholders Equity Three Months Ended March
31, 2002 and 2003 (in thousands of dollars, except share data) (unaudited)

|                                               | CommonStock |     | AdditionalPaid-inCapital |    | UnearnedESOPShares |   | UnearnedStockAwards |   | TreasuryStock |        | RetainedEarnings |   | AccumulatedOtherCompre-
hensiveIncome | TotalStock-holdersEquity |  
|---------------------------------------------- | ----------- | --- | ------------------------ | -- | ------------------ | - | ------------------- | - | ------------- | ------ | ---------------- | - | ------------------------------------- | ------------------------- | -
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  
|Balance at December 31, 2001                   |             |     | $                        | 22 |                    | $ | 21,418              |   | $             | (1,570 | )                | $ | (1,287                                | )                         | $
|ESOP shares earned                             |             |     |                          |   |                    |   | 29                  |   |               | 45     |                  |   |                                      |                           |  
|Stock awards earned                            |             |     |                          |   |                    |   |                    |   |               |       |                  |   | 68                                    |                           |  
|Dividends declared ($.08 per share)            |             |     |                          |   |                    |   |                    |   |               |       |                  |   |                                      |                           |  
|Comprehensive income                           |             |    
|Net income                                     |             |     |                          |   |                    |   |                    |   |               |       |                  |   |                                      |                           |  
|Change in fair value of securities classified  |             |    
|as available-for-sale, net of reclassification |             |    
|and tax effects                                |             |     |                          |   |                    |   |                    |   |               |       |                  |   |                                      |                           |  
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  
|Total comprehensive income                     |             | 267 |                         
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  
|Balance at March 31, 2002                      |             |     | $                        | 22 |                    | $ | 21,447              |   | $             | (1,525 | )                | $ | (1,219                                | )                         | $
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  
|                                              
|Balance at December 31, 2002                   |             |     | $                        | 22 |                    | $ | 22,629              |   | $             | (1,390 | )                | $ | (1,016                                | )                         | $
|Options exercised (4,534 shares)               |             |     |                          |   |                    |   | (39                 | ) |               |       |                  |   |                                      |                           |  
|ESOP shares earned                             |             |     |                          |   |                    |   | 46                  |   |               | 44     |                  |   |                                      |                           |  
|Stock awards earned                            |             |     |                          |   |                    |   |                    |   |               |       |                  |   | 68                                    |                           |  
|Dividends declared ($.08 per share)            |             |     |                          |   |                    |   |                    |   |               |       |                  |   |                                      |                           |  
|Comprehensive income                           |             |    
|Net income                                     |             |     |                          |   |                    |   |                    |   |               |       |                  |   |                                      |                           |  
|Change in fair value of securities classified  |             |    
|as available-for-sale, net of reclassification |             |    
|and tax effects                                |             |     |                          |   |                    |   |                    |   |               |       |                  |   |                                      |                           |  
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  
|Total comprehensive income                     |             | 605 |                         
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  
|Balance at March 31, 2003                      |             |     | $                        | 22 |                    | $ | 22,636              |   | $             | (1,346 | )                | $ | (948                                  | )                         | $
|                                               |             |     |                          |    |                    |   |                     |   |               |        |                  |   |                                       |                           |  

See
notes to consolidated financial statements.

3

---

First Federal Bancshares, Inc.
and Subsidiary Consolidated Statements of Cash Flows (in thousands of dollars) (unaudited)

|                                                              | Three Months Ended
March 31, | 
|------------------------------------------------------------- | ---------------------------- | 
|
|                                                              |                              | 
|CASH FLOWS FROM OPERATING ACTIVITIES                          |                              | 
|Net income                                                    |                              | 
|Adjustments to reconcile net income to net cash provided by   |                              | 
|operating activities                                          |                              | 
|Provision for depreciation                                    |                              | 
|Loss (gain) on sale of real estate owned                      |                              | 
|Net amortization of premiums and discounts                    |                              | 
|ESOP compensation expense                                     |                              | 
|Stock award compensation expense                              |                              | 
|Amortization of intangible assets                             |                              | 
|Provision for loan losses                                     |                              | 
|Dividend reinvestments                                        |                              | 
|Federal Home Loan Bank stock dividends                        |                              | 
|Gain on sale of securities                                    |                              | 
|Net changes in                                                |                              | 
|Accrued interest receivable and other assets                  |                              | 
|Deferred loan costs                                           |                              | 
|Accrued interest payable and other liabilities                |                              | 
|                                                              |                              | 
|Net cash provided from operating activities                   |                              | 
|CASH FLOWS FROM INVESTING ACTIVITIES                          |                              | 
|Purchase of securities available-for-sale                     |                              | 
|Purchase of securities held-to-maturity                       |                              | 
|Principal paydowns on mortgage-backed securities              |                              | 
|Proceeds from maturities of securities                        |                              | 
|Proceeds from sale of securities available-for-sale           |                              | 
|Purchase of loans                                             |                              | 
|Net decrease in loans receivable                              |                              | 
|Proceeds from sale of real estate owned                       |                              | 
|Purchase of property and equipment                            |                              | 
|                                                              |                              | 
|Net cash from  investing activities                           |                              | 
|CASH FLOWS FROM FINANCING ACTIVITIES                          |                              | 
|Net increase in deposits                                      |                              | 
|Net change in advances from borrowers for taxes and insurance |                              | 
|Dividends paid                                                |                              | 
|Options exercised                                             |                              | 
|                                                              |                              | 
|Net cash from financing activities                            |                              | 
|                                                              |                              | 
|Net change in cash and cash equivalents                       |                              | 
|Cash and cash equivalents                                     |                              | 
|Beginning of period                                           |                              | 
|                                                              |                              | 
|End of period                                                 |                              | 
|                                                              |                              | 
|Supplemental disclosures of cash flow information             |                              | 
|Cash paid during the period for                               |                              | 
|Interest                                                      |                              | 
|Taxes, net of refunds                                         |                              | 
|Transfers to real estate owned                                |                              | 
|Transfer of securities to available-                          |                              | 
|for-sale from held-to-maturity                                |                              | 
|on January 24, 2003 at fair value                             |                              | 

See
notes to consolidated financial statements.

4

---

FIRST FEDERAL
BANCSHARES, INC. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS March 31, 2003 (table
amounts in thousands of dollars, except share data)

Note 1  Basis of
Presentation

The accompanying interim
consolidated financial statements have been prepared pursuant to the rules and regulations
for reporting on Form 10-Q. Accordingly, certain disclosures required by accounting
principles generally accepted in the United States of America are not included herein.
These interim statements should be read in conjunction with the Companys Annual
Report on Form 10-K. The December 31, 2002 balance sheet presented herein has been derived
from the audited financial statements included in the Companys Annual Report on Form
10-K, but does not include all disclosures required by accounting principles generally
accepted in the United States of America.

Interim statements are subject
to possible adjustment in connection with the annual audit of the Company for the year
ending December 31, 2003. In the opinion of management of the Company, the accompanying
unaudited interim consolidated financial statements reflect all adjustments (consisting of
normal recurring adjustments) necessary for a fair presentation of the consolidated
financial position and consolidated results of operations for the periods presented. The
results of operations for interim periods are not necessarily indicative of the results to
be expected for the full year.

Note 2  Acquisition of
PFSB Bancorp, Inc.

On
  November 22, 2002, the Company completed the acquisition of PFSB Bancorp, Inc.
  (PFSB), and its wholly owned subsidiary Palmyra Savings pursuant
  to an Agreement and Plan of Merger dated as of June 4, 2002, by and between
  the Company and PFSB. The acquisition was completed through the merger of PFSB
  with and into the Company. As part of the acquisition, Palmyra Savings merged
  with and into First Federal with First Federal being the surviving bank. First
  Federal Bancshares paid approximately $4.4 million in cash and issued approximately
  252,000 shares of the Companys common stock to the former stockholders
  of PFSB. The PFSB acquisition included total assets of approximately $73.8 million
  and three banking offices in northeast Missouri. As a result of the acquisition,
  the Company expects to be better positioned to compete in the financial services
  industry in Illinois and Missouri through expanded operations and market coverage.

PFSB
  Bancorp, Inc.s results of operations have been reflected in the Companys
  consolidated statements of income beginning as of the acquisition date. The
  total net interest income, total income, net income, and basic and diluted earnings
  per share for the three months ended March 31, 2003 and the proforma net interest
  income, total income, net income, and basic and diluted earnings per share for
  the three months ended March 31, 2002 after giving effect to the PFSB Bancorp,
  Inc. acquisition as if it occurred on January 1, 2002 are as follows:

|                           | 2003 |  | 2002 |      
|-------------------------- | ---- |  | ---- | -----
|                           |      |  |      |      
|Net interest income        |      |  | $    | 2,217
|Total income               |      |  |      | 2,415
|Net income                 |      |  |      | 617  
|Basic earnings per share   |      |  |      | .33  
|Diluted earnings per share |      |  |      | .32  

5

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Note 3  Earnings
Per Share

For purposes of per share
calculations, the Company had 2,066,477 and 2,107,950 shares of common stock outstanding
at March 31, 2003 and 2002. Basic earnings per share for the three months ended March 31,
2003 and 2002 were computed by dividing net income by the weighted average number of
shares outstanding. Diluted earnings per share for the three months ended March 31, 2003
and 2002 were computed by dividing net income by the weighted average number of shares
outstanding, adjusted for the dilutive effect of the outstanding stock options and stock
awards. Computations for basic and diluted earnings per share are provided below.

|                                  | For the three months
ended March 31,
|--------------------------------- | ------------------------------------
|
|
|Basic                             |                                     
|Net income                        |                                     
|                                  |                                     
|Weighted average common shares    |                                     
|outstanding                       |                                     
|                                  |                                     
|Basic earnings per common share   |                                     
|                                  |                                     
|Diluted                           |                                     
|Net income                        |                                     
|                                  |                                     
|Weighted average common shares    |                                     
|outstanding                       |                                     
|Dilutive effect of stock options  |                                     
|Dilutive effect of stock awards   |                                     
|                                  |                                     
|Diluted average common shares     |                                     
|                                  |                                     
|Diluted earnings per common share |                                     
|                                  |                                     

Note 4  Stock Option

The
  Company applies Accounting Principles Board (APB) Opinion 25 and related interpretations
  in accounting for its stock option plan. Accordingly, no compensation cost has
  been recognized at the date of grant. Had compensation cost been determined
  based on the fair value at the grant dates for awards under the plan consistent
  with the method of Statement of Financial Accounting Standards (SFAS) No. 123,
  Accounting for Stock-Based Compensation, the Companys net
  income and earnings per share would have been reduced to the pro forma amounts
  in the table below. For purposes of pro forma disclosure, the estimated fair
  value of the options is amortized to expense over the options vesting
  period.

6

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|                               | Three Months Ended
March 31, 2003 | Three Months Ended
March 31, 2002
|------------------------------ | --------------------------------- | ---------------------------------
|                               |                                   |                                  
|Net income as reported         |                                   |                                  
|Pro forma net income           |                                   |                                  
|Earnings per share as reported |                                   |                                  
|Basic                          |                                   |                                  
|Diluted                        |                                   |                                  
|Pro forma earnings per share   |                                   |                                  
|Basic                          |                                   |                                  
|Diluted                        |                                   |                                  

The Black-Scholes option
pricing valuation model was developed for use in estimating the fair value of traded
options that have no vesting restrictions and are fully transferable. In addition, option
valuation models require the input of highly subjective assumptions including the expected
stock price volatility. Because changes in the subjective input assumptions can materially
affect the fair value estimate, in managements opinion, the existing models do not
necessarily provide a reliable single measure of the fair value of its stock options.

|Date of grant                                 |  |  | January 22, 2003
|--------------------------------------------- |  |  | ----------------
|Options granted                               |  |  |                 
|Estimated fair value of stock options granted |  |  | $               
|Assumptions used:                             |  | 
|Risk-free interest rate                       |  |  |                 
|Expected option life                          |  |  |                 
|Expected stock price volatility               |  |  |                 
|Expected dividend yield                       |  |  |                 

Pursuant
  to its 2001 stock-based incentive plan, the Company awarded 89,700 shares of
  restricted stock during 2001. These shares vest over a five-year period. The
  unamortized cost of shares not yet earned (vested) is reported as a reduction
  of shareholders equity.

Note 5  Transfer of
Securities Held to Maturity

During the first quarter of
2003, as a result of the acquisition of PFSB, changes in the structure of the balance
sheet, and for asset/liability management purposes, management revised the Company policy
to classify all securities as available for sale. Effective January 31, 2003, the Company
reclassified all of its securities held-to-maturity to securities available-for-sale. The
securities that were reclassified had a book value of $24.2 million and a fair value of
$24.5 million as of that date. The reclassification of these securities resulted in a
decrease in securities held-to-maturity of $24.5 million from December 31, 2002 to March
31, 2003, and the majority of the $35.2 million increase in available-for-sale securities
during the same period.

Note 6  Subsequent
Events

During
  the quarter ended December 31, 2001, the Company recorded an impairment loss
  of $596,000 related to certificates of deposit purchased through a broker who
  was charged by the SEC with securities fraud in relation to these certificates
  of deposit. The Company received a check in the amount of $355,000 during April
  2003 as an initial distribution of receivership assets. This distribution represents
  59.6% of the allowed claim and will be recorded as income for the quarter ending
  June 2003. There has been no indication at this time as to what amounts the
  Company might further recover in the future with respect to these certificates
  of deposit.

7

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|ITEM 2. |  | MANAGEMENTS
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|------- |  | -------------------------------------------------------------------------------------

SAFE HARBOR STATEMENT UNDER THE
PRIVATE SECURITIES LITIGATION REFORM ACT OF 1995

This report contains certain
forward-looking statements within the meaning of Section 27A of the Securities Act of
1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. The
Company intends such forward-looking statements to be covered by the safe harbor
provisions for forward-looking statements contained in the Private Securities Reform Act
of 1995 as amended, and is including this statement for purposes of these safe harbor
provisions. Forward-looking statements, which are based on certain assumptions and
describe future plans, strategies and expectations of the Company, are generally
identifiable by use of the words such as believe, expect,
intend, anticipate, estimate, project, or
similar expressions. The Companys ability to predict results or the actual effect of
future plans or strategies is inherently uncertain. Factors which could have a material
adverse affect on the operations and future prospects of the Company and its wholly-owned
subsidiaries include, but are not limited to, changes in: interest rates; general economic
conditions; legislative/regulatory provisions; monetary and fiscal policies of the U.S.
Government, including policies of the U.S. Treasury and the Federal Reserve Board; the
quality or composition of the loan or investment portfolios; demand for loan products;
deposit flows; competition; demand for financial services in the Companys market
area; and accounting principles, policies, and guidelines. These risks and uncertainties
should be considered in evaluating forward-looking statements and undue reliance should
not be placed on such statements. Further information concerning the Company and its
business, including additional factors that could materially affect the Companys
financial results, is included in the Companys filings with the Securities and
Exchange Commission.

The following discussion
compares the financial condition of First Federal Bancshares, Inc. (Company) and its
wholly owned subsidiary, First Federal Bank (Bank), at March 31, 2003 to its financial
condition at December 31, 2002 and the results of its operations for the three-month
period ended March 31, 2003 to the same period in 2002. This discussion should be read in
conjunction with the interim financial statements and footnotes included herein.

FINANCIAL CONDITION

Total
  assets were $318.5 million at March 31, 2003 and $316.4 million at December 31,
  2002. During the three months ended March 31, 2003, cash and cash equivalents
  increased $619,000, which reflects excess operating cash resulting from the
  timing of loan prepayments and an increase in customer deposits. Loans decreased
  $9.8 million primarily as a result of portfolio loans refinancing into the Federal
  Home Loan Bank Mortgage Partnership Finance fixed rate program and also to other
  competitors due to the lower interest rate environment. Securities available-for-sale
  increased $35.2 million to $126.7 million and securities held-to maturity decreased
  $24.5 million during the first quarter of 2003. The change in the securities
  portfolio during the quarter was primarily due to the Companys reevaluation
  of the classification of the securities portfolio in the quarter. As a result
  of the acquisition of PFSB, changes in the structure of the balance sheet, and
  for asset/liability management purposes, management revised the Company policy
  to classify all securities as available for sale. Effective January 31, 2003,
  the Company reclassified all of its securities held-to-maturity to securities
  available-for-sale. The securities that were reclassified had a book value of
  $24.2 million and a fair value of $24.5 million as of that date. The reclassification
  of these securities resulted in a decrease in securities held-to-maturity of
  $24.5 million from December 31, 2002 to March 31, 2003, and the majority of
  the $35.2 million increase in available-for-sale securities during the same
  period.

The allowance for loan losses
was $960,000 at March 31, 2003 and $976,000 at December 31, 2002. There were no
impaired loans at either date. The allowance for loan losses represented .68% of total
loans and 50.49% of nonperforming loans at March 31, 2003 compared to .65% of total loans
and 50.89% of nonperforming loans at December 31, 2002. Nonperforming assets totaled $2.1
million and $2.2 million at

8

---

March 31, 2003 and December 31, 2002, respectively. The ratio
of non-performing assets to total assets at March 31, 2003 was .65% compared to .69% at
December 31, 2002.

Total liabilities at March 31,
2003 were $270.8 million compared to $269.4 million at December 31, 2002, an increase
of $1.4 million, primarily due to an increase in customer deposits of $1.6 million. The
increased funds from customer deposits have been invested in interest-earning deposits at
other institutions until such time as the funds can be redeployed into loans receivable or
securities.

Shareholders equity at
March 31, 2003 was $47.7 million compared to $47.0 million at December 31, 2002, an
increase of $.7 million. The increase primarily reflects net income of $617,000.

RESULTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2003 AND MARCH 31, 2002

Net income increased $100,000
to $617,000 for the quarter ended March 31, 2003 compared to the same period in 2002. The
increase in net income was primarily a result of an increase in net interest income and an
increase in non-interest income offset by increases in noninterest expense and the income
tax provision.

Net interest income was $2.2
million for the quarter ended March 31, 2003 compared to $1.7 million for the same prior
year period. The increase in net interest income was primarily a result of an increase in
volume as a result of the acquisition of PFSB in the last quarter of 2002 and an increase
in the net interest spread to 2.56% for the quarter ended March 31, 2003 from 2.40% for
the same period in 2002. The increase in the spread was due largely to the decrease in the
cost of funds exceeding the decrease in the yield on interest-earning assets as
interest-earning assets and interest-bearing liabilities repriced downward in reaction to
the continued decreasing interest rate environment. The average yield on interest-earning
assets decreased to 5.27% for the quarter ended March 31, 2003 from 5.55% for the same
quarter in 2002, while the average yield on interest-bearing liabilities decreased to
2.71% for the quarter ended March 31, 2003 from 3.15% for the same period in 2002. The net
interest margin was 2.90% for the three months ended March 31, 2003 and 2.95% for the
three months ended March 31, 2002. The decreased net interest margin reflects a decrease
in the ratio of average interest-earning assets to average interest-bearing liabilities to
114.28% from 121.03% for the three-month periods respectively.

The provision for loan losses
was zero for the quarter ended March 31, 2003 and $7,000 for the same period in 2002. The
decrease in the provision for loan losses can be attributed to the overall stability in
the amount of nonperforming loans during the quarter.

On a quarterly basis,
management of the Company meets to review the allowance for loan losses. Management
classifies loans in compliance with regulatory classifications. Classified loans are
individually reviewed to arrive at specific reserves for those loans. Once the specific
portion of the allowance is calculated, management calculates a historical portion for
each loan category based on loan loss history, peer data, current economic conditions and
trends in the portfolio, including delinquencies and impairments, as well as changes in
the composition of the loan portfolio. Although management believes that the allowance for
loan losses reflected probable incurred losses on existing loans at March 31, 2003, there
can be no assurance that such losses will not exceed estimated amounts. Future adjustments
to the allowance may be necessary due to economic, operating, regulatory and other
conditions that may be beyond the Companys control. The allowance for loan losses as
of March 31, 2003 was maintained at a level that represents managements best
estimate of losses in the loan portfolio and such losses were both probable and reasonably
estimatable.

Noninterest income was $198,000
for the three-month period ended March 31, 2003 compared to $108,000 for the same period
in 2002. The increase in noninterest income was primarily a result of a $43,000 increase
in net gains on the sale of securities, a $15,000 increase in service charges, a $17,000
increase in other fee income, and a $15,000 increase in other income. The increases in
service charges and fee income are primarily a result of the acquisition of PFSB resulting
in an increase in deposits and associated fee income.

9

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Noninterest
  expense was $1.4 million and $1.0 million for the quarters ended March 31, 2003
  and 2002. The increase in noninterest expense primarily reflects an increase
  in compensation and benefits expense of $245,000 associated with an increase
  in salaries of $172,000 and an increase of $62,000 in employee benefit expenses,
  including health insurance and retirement funds. Salary and employee benefits
  expenses primarily increased during the period due to the increased number of
  employees as a result of the PFSB acquisition in November 2002. Occupancy and
  equipment expense increased $69,000 due to increased depreciation related to
  the premises and equipment acquired through the PFSB acquisition. Data processing
  expense, advertising expense, and professional fees also experienced increases
  during the period, primarily due to the acquisition.

The Companys federal
income tax expense increased $33,000 to $375,000 for the quarter ended March 31, 2003
compared to $342,000 during the same period in 2002. Income tax expense was approximately
38% and 39% of pretax income in both periods, respectively.

LIQUIDITY

The Company must maintain an
adequate level of liquidity to ensure the availability of sufficient funds to fund loan
originations and deposit withdrawals, to satisfy other financial commitments, and to take
advantage of investment opportunities. The Company invests excess funds in overnight
deposits and other short-term interest-bearing assets to provide liquidity to meet these
needs. At March 31, 2003, cash and cash equivalents totaled $43.4 million. At March 31,
2003, the Company had commitments to fund loans of $907,000. At the same time,
certificates of deposit which are scheduled to mature in one year or less totaled $61.8
million. Management believes, based on past experience that a significant portion of those
deposits will remain with the Company. Based on the foregoing, in addition to the
Companys high level of core deposits and capital, the Company considers its
liquidity and capital resources sufficient to meet its outstanding short-term and
long-term needs.

CAPITAL RESOURCES

The Bank is subject to
capital-to-asset requirements in accordance with bank regulations. The following table
summarizes the Banks regulatory capital requirements versus actual capital as of
March 31, 2003:

|                           | ACTUAL | REQUIRED | EXCESS
|-------------------------- | ------ | -------- | ------
|                           |        |          |       
|
|                           |        |          |       
|Core capital               |        |          | $     
|(to adjusted total assets) |        |         
|Risk-based capital         |        |          |       
|(to risk-weighted assets)  |        |         

SUBSEQUENT EVENTS

The Company received a check in the amount
of $355,000 during April 2003 in relation to an initial distribution of receivership assets from the securities fraud as described in Note 6. As a result, the Company's income statement
will reflect an increase in other income for the second quarter of 2003.

ITEM 3.  QUANTITATIVE AND
QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Qualitative Aspects of
Market Risk.The Companys most significant form of market risk is
interest rate risk. The principal objectives of the Companys interest rate risk
management are to evaluate the interest rate risk inherent in certain balance sheet
accounts, determine the level of risk appropriate given the Companys business
strategy, operating environment, capital and liquidity requirements and performance
objectives, and manage the risk consistent with the Board of Directors approved
guidelines. The Company has an Asset/Liability Committee, responsible for reviewing its
asset/liability policies and interest rate risk position, which meets monthly and reports
trends and interest rate risk position to the

10

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Board of Directors quarterly. The extent of
the movement of interest rates is uncertainty that could have a negative impact on the
earnings of the Company.

The Company has used the
following strategies to manage interest rate risk: (1) emphasizing the origination of
adjustable-rate and balloon loans and not originating long-term, fixed-rate loans for
retention in its portfolio; (2) emphasizing shorter term consumer loans; (3) introducing
floating-rate commercial business loans tied to the prime rate; (4) maintaining a high
quality securities portfolio that provides adequate liquidity and flexibility to take
advantage of opportunities that may arise from fluctuations in market interest rates, the
overall maturity of which is monitored in relation to the repricing of its loan portfolio;
and (5) using Federal Home Loan Bank advances to better structure maturities of its
interest rate sensitive liabilities. The Company currently does not participate in hedging
programs, interest rate swaps or other activities involving the use of off-balance sheet
derivative financial instruments.

Quantitative
  Aspects of Market Risk.The Company primarily utilizes an interest sensitivity
  analysis prepared by the Office of Thrift Supervision to review the level of
  interest rate risk of the Bank. This analysis measures interest rate risk by
  computing changes in the net portfolio value of the Banks cash flows from
  assets, liabilities and off-balance sheet items in the event of a range of assumed
  changes in market interest rates. Net portfolio value represents the market
  value of portfolio equity and is equal to the market value of assets minus the
  market value of liabilities, with adjustments made for off-balance sheet items.
  This analysis assesses the risk of loss in market risk sensitive instruments
  in the event of a sudden and sustained 100 to 300 basis point increase or decrease
  in market interest rates with no effect given to any steps that management might
  take to counter the effect of that interest rate movement. The following table,
  which is based on information provided to the Bank by the Office of Thrift Supervision,
  presents the change in the Banks net portfolio value at December 31, 2002,
  the latest date for which information is available, that would occur upon an
  immediate change in interest rates based on Office of Thrift Supervision assumptions,
  but without giving effect to any steps that management might take to counteract
  that change. The Company expects March's net portfolio value to be similar to
  that of December 2002 as shown below. All model outputs associated with the
  300 and 200 bp scenarios are not applicable because of the abnormally
  low prevailing interest rate environment.

|       | Net Portfolio Value | NPV as % of
Portfolio Value of Assets
|------ | ------------------- | -------------------------------------
|       |                     |                                      
|
|       |                     |                                      
|
|       | 300                 |                                      
|       | 200                 |                                      
|       | 100                 |                                      
|Static |                     |                                      
|       | (100                | )                                    
|       | (200                | )                                    
|       | (300                | )                                    

The Office of Thrift
Supervision uses certain assumptions in assessing the interest rate risk of savings
associations. These assumptions relate to interest rates, loan prepayment rates, deposit
decay rates, and the market values of certain assets under differing interest rate
scenarios, among others.

As with any method of measuring
interest rate risk, certain shortcomings are inherent in the method of analysis presented
in the foregoing table. For example, although certain assets and liabilities may have
similar maturities or periods to repricing, they may react in different degrees to changes
in market interest rates. Also, the interest rates on certain types of assets and
liabilities may fluctuate in advance of changes in market interest rates, while interest
rates on other types may lag behind changes in market rates. Additionally, certain assets,
such as adjustable rate mortgage loans, have features which restrict changes in interest
rates on a short-term basis and over the life of the asset. Further, if interest rates

11

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change, expected rates of prepayments on loans and early withdrawals from certificates
could deviate significantly from those assumed in calculating the table.

# ITEM 4: CONTROLS AND
PROCEDURES

| | (a) | Evaluation of disclosure controls and procedures. The Company maintains
          controls and procedures designed to ensure that information required to be
          disclosed in the reports that the Company files or submits under the Securities
          Exchange Act of 1934 is recorded, processed, summarized and reported within the
          time period specified in the rules and forms of the Securities and Exchange
          Commission. Based upon their evaluation of those controls and procedures
          performed within 90 days of the filing date of this report, the chief executive
          officer and the chief financial officer of the Company concluded that the
          Companys disclosure controls and procedures were adequate.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (b) | Changes in internal controls. The Company made no significant changes in
          its internal controls or in other factors that could significantly affect these
          controls subsequent to the date of the evaluation of those controls by the chief
          executive officer and chief financial officer.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

12

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PART II  OTHER INFORMATION

ITEM 1.   LEGAL PROCEEDINGS.

| | Periodically,
there have been various claims and lawsuits involving the Company, such as claims to
enforce liens, condemnation proceedings on properties in which the Company holds security
interest, claims involving the making and servicing of real property loans and other
issues incident to the Companys business. In the opinion of management, after
consultation with the Companys legal counsel, no significant loss is expected from
any of such pending claims or lawsuits. The Company is not a party to any material pending
legal proceedings.
| | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

ITEM 2.   CHANGES IN SECURITIES.

| | None
| | ----

ITEM 3.   DEFAULTS UPON SENIOR
SECURITIES.

| | None
| | ----

ITEM 4.  SUBMISSION OF MATTERS TO A
VOTE OF SECURITIES HOLDERS.

| | None
| | ----

ITEM 5. OTHER INFORMATION.

| | None
| | ----

ITEM 6.  EXHIBITS AND REPORTS ON
FORM 8-K.

| | (a)                                                                                                                                                                                         |  | Exhibits           
| | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------------
| | 99.0
 Certifications  pursuant to 18 U.S.C.  1350,  as adopted  pursuant to Section 906 of
the Sarbanes-Oxley Act of 2002                                                                  
| | (b)                                                                                                                                                                                         |  | Reports
on Form 8-K
| | The
Company filed a Current Report on Form 8-K on January 23, 2003 announcing the date of its
annual meeting of stockholders. The press release was included as an exhibit to the Form
8-K.

13

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SIGNATURES

Pursuant to the requirements of
the Securities Exchange Act of 1934, the Registrant has duly caused this report to be
signed on its behalf by the undersigned thereunto duly authorized.

|                   | FIRST FEDERAL BANCSHARES, INC.                                           
|------------------ | -------------------------------------------------------------------------
|Date: May 14, 2003 | /s/ James J. Stebor
James J. Stebor
President and Chief Executive Officer
|Date: May 14, 2003 | /s/ Cathy D. Pendell
Cathy D. Pendell
Treasurer                          

14

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CERTIFICATION OF
PRINCIPAL EXECUTIVE OFFICER

# CERTIFICATION
  FOR QUARTERLY REPORT ON FORM 10-Q

---

I, James J. Stebor, certify
that:

|1) | I have reviewed this quarterly report on Form 10-Q of First Federal Bancshares,
          Inc.;
|-- | -----------------------------------------------------------------------------------------------

|2) | Based on my knowledge, this quarterly report does not contain any untrue
          statement of a material fact or omit to state a material fact necessary to make
          the statements made, in light of the circumstances under which such statements
          were made, not misleading with respect to the period covered by this quarterly
          report;
|-- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|3) | Based on my knowledge, the financial statements, and other financial information
          included in this quarterly report, fairly present in all material respects the
          financial condition, results of operations and cash flows of the registrant as
          of, and for, the periods presented in this quarterly report;
|-- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|4) | The registrants
        other certifying officer and I are responsible for establishing and maintaining
        disclosure controls and procedures (as defined in Exchange Act Rules 13a-14
        and 15d-14) for the registrant and we have:
|-- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | a) | designed
such disclosure controls and procedures to ensure that material           information
relating to the registrant, including its consolidated subsidiaries,           is made
known to us by others within those entities, particularly during the           period in
which this quarterly report is being prepared;
| | -- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | b) | evaluated
the effectiveness of the registrants disclosure controls and           procedures
as of a date within 90 days prior to the filing date of this           quarterly report
(the Evaluation Date); and
| | -- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | c) | presented
in this quarterly report our conclusions about the effectiveness of           the
disclosure controls and procedures based on our evaluation as of the           Evaluation
Date;
| | -- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|5) | The registrants
        other certifying officer and I have disclosed, based on our most recent
        evaluation, to the registrants auditors and the audit committee
        of registrants board of directors (or persons performing the equivalent
        function):
|-- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | a) | all
significant deficiencies in the design or operation of internal controls           which
could adversely affect the registrants ability to record, process,
          summarize and report financial data and have identified for the
          registrants auditors any material weaknesses in internal controls; and
| | -- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | b) | any
fraud, whether or not material, that involves management or other employees           who
have a significant role in the registrants internal controls; and
| | -- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------

|6) | The registrants
        other certifying officer and I have indicated in this quarterly report
        whether or not there were significant changes in internal controls or
        in other factors that could significantly affect internal controls subsequent
        to the date of our most recent evaluation, including any corrective actions
        with regard to significant deficiencies and material weaknesses.
|-- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Date:
  May 14, 2003/s/ James J. Stebor
James J. Stebor
President and Chief Executive Officer

15

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CERTIFICATION OF
PRINCIPAL FINANCIAL OFFICER

# CERTIFICATION
  FOR QUARTERLY REPORT ON FORM 10-Q

---

I, Cathy D. Pendell, certify
that:

|1) | I have reviewed this quarterly report on Form 10-Q of First Federal Bancshares,
          Inc.;
|-- | -----------------------------------------------------------------------------------------------

|2) | Based on my knowledge, this quarterly report does not contain any untrue
          statement of a material fact or omit to state a material fact necessary to make
          the statements made, in light of the circumstances under which such statements
          were made, not misleading with respect to the period covered by this quarterly
          report;
|-- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|3) | Based on my knowledge, the financial statements, and other financial information
          included in this quarterly report, fairly present in all material respects the
          financial condition, results of operations and cash flows of the registrant as
          of, and for, the periods presented in this quarterly report;
|-- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|4) | The registrants
        other certifying officer and I are responsible for establishing and maintaining
        disclosure controls and procedures (as defined in Exchange Act Rules 13a-14
        and 15d-14) for the registrant and we have:
|-- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | a) | designed
such disclosure controls and procedures to ensure that material           information
relating to the registrant, including its consolidated subsidiaries,           is made
known to us by others within those entities, particularly during the           period in
which this quarterly report is being prepared;
| | -- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | b) | evaluated
the effectiveness of the registrants disclosure controls and           procedures
as of a date within 90 days prior to the filing date of this           quarterly report
(the Evaluation Date); and
| | -- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | c) | presented
in this quarterly report our conclusions about the effectiveness of           the
disclosure controls and procedures based on our evaluation as of the           Evaluation
Date;
| | -- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|5) | The registrants
        other certifying officer and I have disclosed, based on our most recent
        evaluation, to the registrants auditors and the audit committee
        of registrants board of directors (or persons performing the equivalent
        function):
|-- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | a) | all
significant deficiencies in the design or operation of internal controls           which
could adversely affect the registrants ability to record, process,
          summarize and report financial data and have identified for the
          registrants auditors any material weaknesses in internal controls; and
| | -- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | b) | any
fraud, whether or not material, that involves management or other employees           who
have a significant role in the registrants internal controls; and
| | -- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------

|6) | The registrants
        other certifying officer and I have indicated in this quarterly report
        whether or not there were significant changes in internal controls or
        in other factors that could significantly affect internal controls subsequent
        to the date of our most recent evaluation, including any corrective actions
        with regard to significant deficiencies and material weaknesses.
|-- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Date:
  May 14, 2003/s/  Cathy D. Pendell
Cathy D. Pendell
Treasurer

16

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