EXHIBIT 23
 
                        CONSENT OF INDEPENDENT AUDITORS
 
    We consent to the incorporation by reference in this 1995 Annual Report on
Form 10-K of Lehman Brothers Holdings Inc. of our report dated January 10, 1996,
included in the 1995 Annual Report to Stockholders of Lehman Brothers Holdings
Inc.
 
    Our audits also included the consolidated financial statement schedule of
Lehman Brothers Holdings Inc. listed in item 14(a). This schedule is the
responsibility of the Company's management. Our responsibility is to express an
opinion based on our audits. In our opinion, the consolidated financial
statement schedule referred to above, when considered in relation to the basic
consolidated financial statements taken as a whole, presents fairly in all
material respects the information set forth therein.
 
    We also consent to the incorporation by reference in the Registration
Statements and Post Effective Amendments on Form S-3 File Nos. 33-64899,
33-62085, 33-56615, 33-65674, 33-58548, 33-49062, 33-46146, 33-40990 and 33-3663
of Lehman Brothers Holdings Inc. and in the related Prospectuses, of our report
dated January 10, 1996 with respect to the consolidated financial statements and
consolidated financial statement schedule of Lehman Brothers Holdings Inc.
included or incorporated by reference in this 1995 Annual Report on Form 10-K
for the year ended November 30, 1995.
 
                                             ERNST & YOUNG LLP
 
New York, New York
February 28, 1996