The vertical mode expansion method (VMEM) [J. Opt. Soc. Am. A31, 293 (2014)] is a frequency-domain numerical method for solving Maxwell's equations in structures that are layered separately in a cylindrical region and its exterior. Based on expanding the electromagnetic field in one-dimensional vertical modes, the VMEM reduces the original three-dimensional problem to a two-dimensional (2D) problem on the vertical boundary of the cylindrical region. However, the VMEM has so far only been implemented for structures with circular cylindrical regions. In this paper, we develop a VMEM for structures with an elliptic cylindrical region, based on the separation of variables in the elliptic coordinates. A key step in the VMEM is to calculate the so-called Dirichlet-to-Neumann (DtN) maps for 2D Helmholtz equations inside or outside the ellipse. For numerical stability reasons, we avoid the analytic solutions of the Helmholtz equations in terms of the angular and radial Mathieu functions, and construct the DtN maps by a fully numerical method. To illustrate the new VMEM, we analyze the transmission of light through an elliptic aperture in a metallic film, and the scattering of light by elliptic gold cylinders on a substrate.