Sequential recommendation aims to capture users' dynamic interest and predicts the next item of users' preference. Most sequential recommendation methods use a deep neural network as sequence encoder to generate user and item representations. Existing works mainly center upon designing a stronger sequence encoder. However, few attempts have been made with training an ensemble of networks as sequence encoders, which is more powerful than a single network because an ensemble of parallel networks can yield diverse prediction results and hence better accuracy. In this paper, we present Ensemble Modeling with contrastive Knowledge Distillation for sequential recommendation (EMKD). Our framework adopts multiple parallel networks as an ensemble of sequence encoders and recommends items based on the output distributions of all these networks. To facilitate knowledge transfer between parallel networks, we propose a novel contrastive knowledge distillation approach, which performs knowledge transfer from the representation level via Intra-network Contrastive Learning (ICL) and Cross-network Contrastive Learning (CCL), as well as Knowledge Distillation (KD) from the logits level via minimizing the Kullback-Leibler divergence between the output distributions of the teacher network and the student network. To leverage contextual information, we train the primary masked item prediction task alongside the auxiliary attribute prediction task as a multi-task learning scheme. Extensive experiments on public benchmark datasets show that EMKD achieves a significant improvement compared with the state-of-the-art methods. Besides, we demonstrate that our ensemble method is a generalized approach that can also improve the performance of other sequential recommenders. Our code is available at this link: https://github.com/hw-du/EMKD.