Ehlers was born in Denmark but moved to Germany at a young age while his father, Heinz, played hockey there. Heinz played in several leagues in Europe, and was selected by the New York Rangers in the 1984 NHL Entry Draft, though he never played in North America. After his playing career Heinz became a coach, and currently is the head coach of the SCL Tigers in the Swiss National League A. Ehlers would later move back to Denmark for several years, and then to Switzerland in 2007 when his father took up a coaching position. Sebastian Ehlers, Nikolaj's older brother by three years, is currently playing for the Odense Bulldogs in the AL-Bank Ligaen, the top league in Denmark. He also has a younger sister, Caroline. San Jose Sharks centre Alexander True is Ehlers' cousin.