Heatmap regression-based models have significantly advanced the progress of facial landmark detection. However, the lack of structural constraints always generates inaccurate heatmaps resulting in poor landmark detection performance. While hierarchical structure modeling methods have been proposed to tackle this issue, they all heavily rely on manually designed tree structures. The designed hierarchical structure is likely to be completely corrupted due to the missing or inaccurate prediction of landmarks. To the best of our knowledge, in the context of deep learning, no work before has investigated how to automatically model proper structures for facial landmarks, by discovering their inherent relations. In this paper, we propose a novel Hierarchical Structured Landmark Ensemble (HSLE) model for learning robust facial landmark detection, by using it as the structural constraints. Different from existing approaches of manually designing structures, our proposed HSLE model is constructed automatically via discovering the most robust patterns so HSLE has the ability to robustly depict both local and holistic landmark structures simultaneously. Our proposed HSLE can be readily plugged into any existing facial landmark detection baselines for further performance improvement. Extensive experimental results demonstrate our approach significantly outperforms the baseline by a large margin to achieve a state-of-the-art performance.