This paper proposes a novel knowledge distillation-based learning method to improve the classification performance of convolutional neural networks (CNNs) without a pre-trained teacher network, called exit-ensemble distillation. Our method exploits the multi-exit architecture that adds auxiliary classifiers (called exits) in the middle of a conventional CNN, through which early inference results can be obtained. The idea of our method is to train the network using the ensemble of the exits as the distillation target, which greatly improves the classification performance of the overall network. Our method suggests a new paradigm of knowledge distillation; unlike the conventional notion of distillation where teachers only teach students, we show that students can also help other students and even the teacher to learn better. Experimental results demonstrate that our method achieves significant improvement of classification performance on various popular CNN architectures (VGG, ResNet, ResNeXt, WideResNet, etc.). Furthermore, the proposed method can expedite the convergence of learning with improved stability. Our code will be available on Github.