The problem of physical dynamics, which involves predicting the 3D trajectories of particles, is a fundamental task with wide-ranging applications across science and engineering. However, accurately forecasting long-horizon trajectories from initial states remains challenging, due to complex particle interactions and entangled multi-scale dynamics involving both low- and high-frequency components. To address this, we propose a novel knowledge-distillation-based framework, SGDD (Spectral-Guided Dynamics Distillation), which integrates a spectral-guided enhancement to adaptively prioritize key frequency components within a unified spatio-temporal representation. Through knowledge distillation, SGDD leverages future trajectories as privileged information during training, guiding a teacher encoder to generate comprehensive dynamics representations while a student encoder approximates them using only the initial state. This enables the student to generate effective dynamics representations at inference, even without privileged information, thereby enabling accurate long-horizon trajectory prediction. Experimental results on molecule, protein, and human motion datasets demonstrate that our method achieves more accurate and stable long-term predictions than previous physical dynamics models, successfully capturing the complex spatio-temporal structures of real-world systems.