We use direct current (DC) electric fields in conjunction with ultraviolet light to self-assemble highly dense structures of colloidal ellipsoids with three-dimensional order and volume fraction as large as 67%. Ellipsoidal phases of colloids are of fundamental interest because novel packing structures are predicted to occur at high volume fractions; the symmetries of these crystal unit cells can also contribute to a variety of applications, including structural color materials. Previously, the very high volume fraction range of ellipsoidal phases has been inaccessible because of limitations such as vitrification and kinetic trapping. Here we report that the coupling of light to DC electric fields causes electrophoretic deposition that yields ellipsoid phases that are significantly denser than previous reports. The applied voltage across the capacitor-like device used for self-assembly was varied from 1.75-2.3 V and the power density of incident UV light was varied between 75-400 W m-2. As the coupled field strengths were increased, the assembled colloids underwent a phase transition from an isotropic fluid to a nematic liquid crystal phase consistent with previous reports. When the voltage and light intensity were between 1.9-2.1 V and 100-200 W m-2 respectively, the assembly had a high degree of orientational ordering and a degree of positional order along axes both parallel and perpendicular to the plane of the electrode surface. For the densest assembly achieved, the interlaying spacing is 0.9D, where D is the ellipsoid minor axis.