In this work, we study the problem of cross-subject motor imagery (MI) decoding from electroencephalography (EEG) data. Multi-subject EEG datasets present several kinds of domain shifts due to various inter-individual differences (e.g. brain anatomy, personality and cognitive profile). These domain shifts render multi-subject training a challenging task and also impede robust cross-subject generalization. Inspired by the importance of domain generalization techniques for tackling such issues, we propose a two-stage model ensemble architecture built with multiple feature extractors (first stage) and a shared classifier (second stage), which we train end-to-end with two novel loss terms. The first loss applies curriculum learning, forcing each feature extractor to specialize to a subset of the training subjects and promoting feature diversity. The second loss is an intra-ensemble distillation objective that allows collaborative exchange of knowledge between the models of the ensemble. We compare our method against several state-of-the-art techniques, conducting subject-independent experiments on two large MI datasets, namely PhysioNet and OpenBMI. Our algorithm outperforms all of the methods in both 5-fold cross-validation and leave-one-subject-out evaluation settings, using a substantially lower number of trainable parameters. We demonstrate that our model ensembling approach combining the powers of curriculum learning and collaborative training, leads to high learning capacity and robust performance. Our work addresses the issue of domain shifts in multi-subject EEG datasets, paving the way for calibration-free brain-computer interfaces. We make our code publicly available at: https://github.com/gzoumpourlis/Ensemble-MI