The results of anomaly detection are sensitive to the choice of detection algorithms as they are specialized for different properties of data, especially for multidimensional data. Thus, it is vital to select the algorithm appropriately. To systematically select the algorithms, ensemble analysis techniques have been developed to support the assembly and comparison of heterogeneous algorithms. However, challenges remain due to the absence of the ground truth, interpretation, or evaluation of these anomaly detectors. In this paper, we present a visual analytics system named EnsembleLens that evaluates anomaly detection algorithms based on the ensemble analysis process. The system visualizes the ensemble processes and results by a set of novel visual designs and multiple coordinated contextual views to meet the requirements of correlation analysis, assessment and reasoning of anomaly detection algorithms. We also introduce an interactive analysis workflow that dynamically produces contextualized and interpretable data summaries that allow further refinements of exploration results based on user feedback. We demonstrate the effectiveness of EnsembleLens through a quantitative evaluation, three case studies with real-world data and interviews with two domain experts.