Surrogate-assisted evolutionary algorithms (SAEAs) have shown promising performance for solving expensive optimization problems (EOPs) whose true evaluations are computationally or physically expensive. However, most existing SAEAs only focus on the problems with low dimensionality and they rarely consider solving large-scale EOPs (LSEOPs). To fill this research gap, this article proposes an ensemble surrogate-based coevolutionary optimizer for tackling LSEOPs. First, some local surrogate models are trained with low-dimensional data subsets by using feature selection on the large-scale decision variables, a part of which are used to build a selective ensemble surrogate for better approximating the target LSEOP. Then, a coevolutionary optimizer guided by the ensemble surrogate is designed by running two populations to cooperatively solve the target LSEOP and the simplified auxiliary problem. The information of offspring from the two populations is shared to facilitate the coevolution process, which can exploit the searching experience from the simplified auxiliary problem to help solving the target LSEOP. Finally, an effective infill selection criterion is used to update the ensemble surrogate and enhance its approximate performance. To evaluate the performance of the proposed algorithm, a number of well-known benchmark problems are used and the experimental results validate our superior performance over nine state-of-the-art SAEAs on most cases.