As automated vehicles enter public roads, safety in a near-infinite number of driving scenarios becomes one of the major concerns for the widespread adoption of fully autonomous driving. The ability to detect anomalous situations outside of the operational design domain is a key component in self-driving cars, enabling us to mitigate the impact of abnormal ego behaviors and to realize trustworthy driving systems. On-road anomaly detection in egocentric videos remains a challenging problem due to the difficulties introduced by complex and interactive scenarios. We conduct a holistic analysis of common on-road anomaly patterns, from which we propose three unsupervised anomaly detection experts: a scene expert that focuses on frame-level appearances to detect abnormal scenes and unexpected scene motions; an interaction expert that models normal relative motions between two road participants and raises alarms whenever anomalous interactions emerge; and a behavior expert which monitors abnormal behaviors of individual objects by future trajectory prediction. To combine the strengths of all the modules, we propose an expert ensemble (Xen) using a Kalman filter, in which the final anomaly score is absorbed as one of the states and the observations are generated by the experts. Our experiments employ a novel evaluation protocol for realistic model performance, demonstrate superior anomaly detection performance than previous methods, and show that our framework has potential in classifying anomaly types using unsupervised learning on a large-scale on-road anomaly dataset.