Ellis was born in Ballarat, Victoria, Australia. He studied classical violin, worked briefly as a schoolteacher in regional Victoria after completing a degree - a Diploma of Education in Music and English; traveled and busked in Greece, Hungary, Scotland and Ireland; wrote music for theatre groups and performed at art openings and plays in Melbourne and then begun playing with Melbourne bands. Before forming in 1992, the Dirty Three, with Jim White and Mick Turner, Ellis played with several groups and individuals: Paranoid; the Nursing Mothers; The Slub, which also included Mick Turner; These Future Kings, Charlie Marshall & The Body Electric, The Blackeyed Susans, and Dave McComb of The Triffids.

In 1995, Ellis was invited to play with Nick Cave and the Bad Seeds on a recording; he remained with the band and continues to play and record with the Bad Seeds, and Grinderman, formed as a spin-off group from the Bad Seeds, who have released two albums. In 2002, Ellis released a solo album on King Crab records called Three Pieces for Violin. Since 2005 he has played on several Marianne Faithfull albums, and collaborated with Nick Cave exclusively; the two composed the award-winning score of the film The Proposition, and then collaborated again on the score of The Assassination of Jesse James by the Coward Robert Ford.

In 2009, Nick Cave & Warren Ellis released White Lunar - an album that includes other soundtrack scores.

Ellis appeared on the front cover of the first issue of popular London fanzine The Freaky Jason, photographed for Scott Schuman's, the Sartorialist.

As of 2012 Ellis continues to record and perform in The Dirty Three and the Bad Seeds.