Medical image segmentation has been significantly advanced by deep learning (DL) techniques, though the data scarcity inherent in medical applications poses a great challenge to DL-based segmentation methods. Self-supervised learning offers a solution by creating auxiliary learning tasks from the available dataset and then leveraging the knowledge acquired from solving auxiliary tasks to help better solve the target segmentation task. Different auxiliary tasks may have different properties and thus can help the target task to different extents. It is desired to leverage their complementary advantages to enhance the overall assistance to the target task. To achieve this, existing methods often adopt a joint training paradigm, which co-solves segmentation and auxiliary tasks by integrating their losses or intermediate gradients. However, direct coupling of losses or intermediate gradients risks undesirable interference because the knowledge acquired from solving each auxiliary task at every training step may not always benefit the target task. To address this issue, we propose a two-stage training approach. In the first stage, the target segmentation task will be independently co-solved with each auxiliary task in both joint training and pre-training modes, with the better model selected via validation performance. In the second stage, the models obtained with respect to each auxiliary task are converted into a single model using an ensemble knowledge distillation method. Our approach allows for making best use of each auxiliary task to create multiple elite segmentation models and then combine them into an even more powerful model. We employed five auxiliary tasks of different proprieties in our approach and applied it to train the U-Net model on an X-ray pneumothorax segmentation dataset. Experimental results demonstrate the superiority of our approach over several existing methods.