The daughter of cyclist Thorvald Ellegaard and Karen Kirstine Nicolaysen, she was born in Paris. Ellegaard studied at the Paris Conservatory and gave her first Danish performance in Copenhagen in 1927. She performed throughout Scandinavia and in the music capitals of Europe. Following the German invasion of Denmark in 1940, she remained in Denmark and then, in 1943, went to Sweden as a political refugee. She married Finnish painter Birger Carlstedt in 1949 and became a Finnish citizen. From 1961 to 1965, she performed in a trio with Anja Ignatius and .