<PAGE>   1


                                                  Registration No. 333-
                                                                       --------

       As filed with the Securities and Exchange Commission on May 3, 1999

===============================================================================
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                           ---------------------------


                                    FORM S-8

                             REGISTRATION STATEMENT
                                      UNDER
                           THE SECURITIES ACT OF 1933

                         AMERITRADE HOLDING CORPORATION
             (Exact Name of Registrant as Specified in Its Charter)

                                    DELAWARE
         (State or Other Jurisdiction of Incorporation or Organization)

                                   47-0642657
                      (I.R.S. Employer Identification No.)

                 4211 SOUTH 102ND STREET, OMAHA, NEBRASKA     68127
               (Address of Principal Executive Offices)     (Zip Code)

                         AMERITRADE HOLDING CORPORATION
                 ASSOCIATES 401(K) PROFIT SHARING PLAN AND TRUST
                            (Full Title of the Plan)

                                ROBERT T. SLEZAK
                         AMERITRADE HOLDING CORPORATION
                             4211 SOUTH 102ND STREET
                              OMAHA, NEBRASKA 68127
                     (Name and Address of Agent for Service)

                                 (402) 331-7856
          (Telephone Number, Including Area Code, of Agent For Service)

                         CALCULATION OF REGISTRATION FEE
===============================================================================
                                          Proposed     Proposed
          Title of                        Maximum       Maximum
         Securities         Amount        Offering     Aggregate     Amount of
           to Be             to Be        Price Per     Offering   Registration
        Registered         Registered      Share 1/     Price 1/       Fee
                                                 -            -
-------------------------------------------------------------------------------
     Class A Common
  Stock, $.01 par value  7,000,000 Shares  $123.625  $865,375,000  $240,574.25
===============================================================================
1/   In accordance with Rule 457(h)(1), the offering price of the Class A
     Common Stock was computed upon the basis of the average of the high and
     low sale prices of the shares of Class A Common Stock on The Nasdaq
     Stock Market on April 29, 1999.
===============================================================================



<PAGE>   2



                                     PART II

               INFORMATION REQUIRED IN THE REGISTRATION STATEMENT

ITEM 3.  INCORPORATION OF DOCUMENTS BY REFERENCE.

         The following documents, which have heretofore been filed by Ameritrade
Holding Corporation (the "Company") with the Securities and Exchange Commission
(the "Commission"), are incorporated by reference herein and shall be deemed to
be a part hereof:

         (a)      The Company's Annual Report on Form 10-K for the year ended
                  September 25, 1998 filed with the Commission on December 21,
                  1998 (as amended by an amendment thereto filed with the
                  Commission on January 20, 1999) under the Securities Exchange
                  Act of 1934, as amended (the "Exchange Act");

         (b)      The Company's Quarterly Report on Form 10-Q for the quarter
                  ended December 31, 1998 filed with the Commission on February
                  12, 1999 under the Exchange Act; and

         (c)      The description of the Company's Class A Common Stock, par
                  value $.01 per share (the "Class A Stock"), contained in the
                  Company's Registration Statement on Form 8-A filed with the
                  Commission on February 21, 1997 under the Exchange Act.

All documents subsequently filed by the Company pursuant to Sections 13(a),
13(c), 14 and 15(d) of the Exchange Act, prior to the filing of a post-effective
amendment which indicates that all securities offered have been sold or which
deregisters all securities then remaining unsold, shall be deemed to be
incorporated herein by reference and shall be deemed a part hereof from the date
of filing of such documents.

ITEM 4.  DESCRIPTION OF SECURITIES.

         Not applicable.

ITEM 5.  INTERESTS OF NAMED EXPERTS AND COUNSEL.

         Not applicable.

ITEM 6.  INDEMNIFICATION OF DIRECTORS AND OFFICERS.

         Pursuant to the provisions of the Delaware General Corporation Law (the
"DGCL"), the Company has adopted provisions in its Certificate of Incorporation
and Bylaws, which (i) require the Company to indemnify its directors and
officers to the fullest extent permitted by law and (ii) eliminate the personal
liability of its directors to the Company or its stockholders for monetary
damages for breach of their duty of due care, except (a) for any breach of the
duty of loyalty; (b) for acts or omissions not in good faith or which involve
intentional misconduct or knowing violations of law; (c) for liability under
Section 174 of the DGCL (relating to certain unlawful dividends, stock
repurchases or stock redemptions); or (d) for any transaction from which the
director derived any improper personal benefit.

         The Company also maintains insurance on its directors and officers,
which covers liabilities under the federal securities laws.

ITEM 7.  EXEMPTION FROM REGISTRATION CLAIMED.

         Not applicable.


                                        2

<PAGE>   3



ITEM 8.  EXHIBITS.

         See Exhibit Index.

ITEM 9.  UNDERTAKINGS.

         (a)      The undersigned registrant hereby undertakes:

                  (1)         To file, during any period in which offers or
                              sales are being made, a post-effective amendment
                              to this registration statement:

                              (i)    To include any prospectus required by
                                     section 10(a)(3) of the Securities Act of
                                     1933, as amended (the "Securities Act");

                              (ii)   To reflect in the prospectus any facts or
                                     events arising after the effective date of
                                     the registration statement (or the most
                                     recent post-effective amendment thereof)
                                     which, individually or in the aggregate,
                                     represent a fundamental change in the
                                     information set forth in the registration
                                     statement;

                              (iii)  To include any material information with
                                     respect to the plan of distribution not
                                     previously disclosed in the registration
                                     statement or any material change to such
                                     information in the registration statement;

                              provided, however, that paragraphs (a)(1)(i) and
                              (a)(1)(ii) do not apply if the information
                              required to be included in a post-effective
                              amendment by those paragraphs is contained in
                              periodic reports filed with or furnished to the
                              Commission by the registrant pursuant to Section
                              13 or Section 15(d) of the Exchange Act that are
                              incorporated by reference in the registration
                              statement.

                  (2)         That, for the purpose of determining any
                              liability under the Securities Act, each such
                              post-effective amendment shall be deemed to be a
                              new registration statement relating to the
                              securities offered therein, and the offering of
                              such securities at that time shall be deemed to
                              be the initial bona fide offering thereof.

                  (3)         To remove from registration by means of a
                              post-effective amendment any of the securities
                              being registered which remain unsold at the
                              termination of the offering.

         (b)      The undersigned registrant hereby undertakes that, for 
purposes of determining any liability under the Securities Act, each filing of
the registrant's annual report pursuant to Section 13(a) or Section 15(d) of the
Exchange Act (and, where applicable, each filing of an employee benefit plan's
annual report pursuant to section 15(d) of the Exchange Act) that is
incorporated by reference in the registration statement shall be deemed to be a
new registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial bona
fide offering thereof.

         (c)      Insofar as indemnification for liabilities arising under the
Securities Act may be permitted to directors, officers and controlling persons
of the registrant pursuant to the foregoing provisions, or otherwise, the
registrant has been advised that in the opinion of the Commission such
indemnification is against public policy as expressed in the Securities Act and
is, therefore, unenforceable. In the event that a claim for indemnification
against such liabilities (other than the payment by the registrant of expenses
incurred or paid by a director, officer or controlling person of the registrant
in the successful defense of any action, suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the registrant will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate



                                        3

<PAGE>   4



jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Securities Act and will be governed by the final
adjudication of such issue.


                                        4

<PAGE>   5



                                   SIGNATURES

           Pursuant to the requirements of the Securities Act of 1933, the
registrant certifies that it has reasonable grounds to believe that it meets all
of the requirements for filing on Form S-8 and has duly caused this Registration
Statement to be signed on its behalf by the undersigned, thereunto duly
authorized, in the City of Omaha, State of Nebraska, on April 30, 1999.


                                 AMERITRADE HOLDING CORPORATION


                                 By: /s/ J. Joe Ricketts
                                 -----------------------------------------
                                         J. Joe Ricketts
                                         Chairman and Chief Executive Officer


                                POWER OF ATTORNEY

           Each person whose signature appears below constitutes and appoints J.
Joe Ricketts and Robert T. Slezak, or either of them, such person's true and
lawful attorneys-in-fact and agents, with full power of substitution and
resubstitution, to sign any and all amendments (including post-effective
amendments) to this Registration Statement, and to file the same, with all
exhibits thereto, and other documents in connection therewith, with the
Securities and Exchange Commission.

           Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed below by the following persons in the
capacities indicated on April 30, 1999.


               /s/ J. Joe Ricketts                        
----------------------------------------------
                   J. Joe Ricketts
Director, Chairman and Chief Executive Officer
         (Principal Executive Officer)

               /s/ Robert T. Slezak
----------------------------------------------
                   Robert T. Slezak
     Director, Chief Financial Officer,
        Vice President and Treasurer
 (Principal Financial and Accounting Officer)


----------------------------------------------
                   Gene L. Finn
                   Director


----------------------------------------------
                   David L. Garrison
                   Director


----------------------------------------------
                   Thomas Y. Hartley
                   Director





<PAGE>   6



               /s/ Joseph A. Konen
----------------------------------------------
                   Joseph A. Konen
                   Director

               /s/ Charles L. Marinaccio
----------------------------------------------
                   Charles L. Marinaccio
                   Director

               /s/ Mark L. Mitchell
----------------------------------------------
                   Mark L. Mitchell
                   Director


----------------------------------------------
                   John W. Ward
                   Director





<PAGE>   7



                                  EXHIBIT INDEX

Exhibit   Description
-------   -----------

4.1       Form of Certificate for Class A Stock (filed as Exhibit Number 4.1 to
          the Company's Registration Statement on Form S-1 (File No. 333-17495),
          and incorporated herein by reference).

4.2       Ameritrade Holding Corporation Associates 401(k) Profit Sharing Plan
          and Trust.

23.1      Consent of Deloitte & Touche LLP.

24.1      Power of Attorney (appears on the signature page of this Registration
          Statement).
[{"type": "S-8", "sequence": "1", "description": "FORM S-8", "secsgml_size_bytes": 14329}]
{"company-data": {"conformed-name": "AMERITRADE HOLDING CORP", "cik": "0001027401", "assigned-sic": "6211", "irs-number": "470642657", "state-of-incorporation": "DE", "fiscal-year-end": "0927"}, "filing-values": {"form-type": "S-8", "act": "33", "file-number": "333-77573", "film-number": "99608547"}, "business-address": {"street1": "4211 SOUTH 102ND ST", "city": "OMAHA", "state": "NE", "zip": "68127", "phone": "4023317856"}, "mail-address": {"street1": "4211 SOUTH 102ND ST", "city": "OMAHA", "state": "NE", "zip": "68127"}}
1

                                                  Registration No. 333-
                                                                       --------

       As filed with the Securities and Exchange Commission on May 3, 1999

===============================================================================
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                           ---------------------------

                                    FORM S-8

                             REGISTRATION STATEMENT
                                      UNDER
                           THE SECURITIES ACT OF 1933

                         AMERITRADE HOLDING CORPORATION
             (Exact Name of Registrant as Specified in Its Charter)

                                    DELAWARE
         (State or Other Jurisdiction of Incorporation or Organization)

                                   47-0642657
                      (I.R.S. Employer Identification No.)

                 4211 SOUTH 102ND STREET, OMAHA, NEBRASKA     68127
               (Address of Principal Executive Offices)     (Zip Code)

                         AMERITRADE HOLDING CORPORATION
                 ASSOCIATES 401(K) PROFIT SHARING PLAN AND TRUST
                            (Full Title of the Plan)

                                ROBERT T. SLEZAK
                         AMERITRADE HOLDING CORPORATION
                             4211 SOUTH 102ND STREET
                              OMAHA, NEBRASKA 68127
                     (Name and Address of Agent for Service)

                                 (402) 331-7856
          (Telephone Number, Including Area Code, of Agent For Service)

                         CALCULATION OF REGISTRATION FEE
===============================================================================
                                          Proposed     Proposed
          Title of                        Maximum       Maximum
         Securities         Amount        Offering     Aggregate     Amount of
           to Be             to Be        Price Per     Offering   Registration
        Registered         Registered      Share 1/     Price 1/       Fee
                                                 -            -
-------------------------------------------------------------------------------
     Class A Common
  Stock, $.01 par value  7,000,000 Shares  $123.625  $865,375,000  $240,574.25
===============================================================================
1/   In accordance with Rule 457(h)(1), the offering price of the Class A
     Common Stock was computed upon the basis of the average of the high and
     low sale prices of the shares of Class A Common Stock on The Nasdaq
     Stock Market on April 29, 1999.
===============================================================================
2

                                     PART II

               INFORMATION REQUIRED IN THE REGISTRATION STATEMENT

ITEM 3.  INCORPORATION OF DOCUMENTS BY REFERENCE.

         The following documents, which have heretofore been filed by Ameritrade
Holding Corporation (the "Company") with the Securities and Exchange Commission
(the "Commission"), are incorporated by reference herein and shall be deemed to
be a part hereof:

         (a)      The Company's Annual Report on Form 10-K for the year ended
                  September 25, 1998 filed with the Commission on December 21,
                  1998 (as amended by an amendment thereto filed with the
                  Commission on January 20, 1999) under the Securities Exchange
                  Act of 1934, as amended (the "Exchange Act");

         (b)      The Company's Quarterly Report on Form 10-Q for the quarter
                  ended December 31, 1998 filed with the Commission on February
                  12, 1999 under the Exchange Act; and

         (c)      The description of the Company's Class A Common Stock, par
                  value $.01 per share (the "Class A Stock"), contained in the
                  Company's Registration Statement on Form 8-A filed with the
                  Commission on February 21, 1997 under the Exchange Act.

All documents subsequently filed by the Company pursuant to Sections 13(a),
13(c), 14 and 15(d) of the Exchange Act, prior to the filing of a post-effective
amendment which indicates that all securities offered have been sold or which
deregisters all securities then remaining unsold, shall be deemed to be
incorporated herein by reference and shall be deemed a part hereof from the date
of filing of such documents.

ITEM 4.  DESCRIPTION OF SECURITIES.

         Not applicable.

ITEM 5.  INTERESTS OF NAMED EXPERTS AND COUNSEL.

         Not applicable.

ITEM 6.  INDEMNIFICATION OF DIRECTORS AND OFFICERS.

         Pursuant to the provisions of the Delaware General Corporation Law (the
"DGCL"), the Company has adopted provisions in its Certificate of Incorporation
and Bylaws, which (i) require the Company to indemnify its directors and
officers to the fullest extent permitted by law and (ii) eliminate the personal
liability of its directors to the Company or its stockholders for monetary
damages for breach of their duty of due care, except (a) for any breach of the
duty of loyalty; (b) for acts or omissions not in good faith or which involve
intentional misconduct or knowing violations of law; (c) for liability under
Section 174 of the DGCL (relating to certain unlawful dividends, stock
repurchases or stock redemptions); or (d) for any transaction from which the
director derived any improper personal benefit.

         The Company also maintains insurance on its directors and officers,
which covers liabilities under the federal securities laws.

ITEM 7.  EXEMPTION FROM REGISTRATION CLAIMED.

         Not applicable.

                                        2
3

ITEM 8.  EXHIBITS.

         See Exhibit Index.

ITEM 9.  UNDERTAKINGS.

         (a)      The undersigned registrant hereby undertakes:

                  (1)         To file, during any period in which offers or
                              sales are being made, a post-effective amendment
                              to this registration statement:

                              (i)    To include any prospectus required by
                                     section 10(a)(3) of the Securities Act of
                                     1933, as amended (the "Securities Act");

                              (ii)   To reflect in the prospectus any facts or
                                     events arising after the effective date of
                                     the registration statement (or the most
                                     recent post-effective amendment thereof)
                                     which, individually or in the aggregate,
                                     represent a fundamental change in the
                                     information set forth in the registration
                                     statement;

                              (iii)  To include any material information with
                                     respect to the plan of distribution not
                                     previously disclosed in the registration
                                     statement or any material change to such
                                     information in the registration statement;

                              provided, however, that paragraphs (a)(1)(i) and
                              (a)(1)(ii) do not apply if the information
                              required to be included in a post-effective
                              amendment by those paragraphs is contained in
                              periodic reports filed with or furnished to the
                              Commission by the registrant pursuant to Section
                              13 or Section 15(d) of the Exchange Act that are
                              incorporated by reference in the registration
                              statement.

                  (2)         That, for the purpose of determining any
                              liability under the Securities Act, each such
                              post-effective amendment shall be deemed to be a
                              new registration statement relating to the
                              securities offered therein, and the offering of
                              such securities at that time shall be deemed to
                              be the initial bona fide offering thereof.

                  (3)         To remove from registration by means of a
                              post-effective amendment any of the securities
                              being registered which remain unsold at the
                              termination of the offering.

         (b)      The undersigned registrant hereby undertakes that, for 
purposes of determining any liability under the Securities Act, each filing of
the registrant's annual report pursuant to Section 13(a) or Section 15(d) of the
Exchange Act (and, where applicable, each filing of an employee benefit plan's
annual report pursuant to section 15(d) of the Exchange Act) that is
incorporated by reference in the registration statement shall be deemed to be a
new registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial bona
fide offering thereof.

         (c)      Insofar as indemnification for liabilities arising under the
Securities Act may be permitted to directors, officers and controlling persons
of the registrant pursuant to the foregoing provisions, or otherwise, the
registrant has been advised that in the opinion of the Commission such
indemnification is against public policy as expressed in the Securities Act and
is, therefore, unenforceable. In the event that a claim for indemnification
against such liabilities (other than the payment by the registrant of expenses
incurred or paid by a director, officer or controlling person of the registrant
in the successful defense of any action, suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the registrant will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate

                                        3
4

jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Securities Act and will be governed by the final
adjudication of such issue.

                                        4
5

                                   SIGNATURES

           Pursuant to the requirements of the Securities Act of 1933, the
registrant certifies that it has reasonable grounds to believe that it meets all
of the requirements for filing on Form S-8 and has duly caused this Registration
Statement to be signed on its behalf by the undersigned, thereunto duly
authorized, in the City of Omaha, State of Nebraska, on April 30, 1999.

                                 AMERITRADE HOLDING CORPORATION

                                 By: /s/ J. Joe Ricketts
                                 -----------------------------------------
                                         J. Joe Ricketts
                                         Chairman and Chief Executive Officer

                                POWER OF ATTORNEY

           Each person whose signature appears below constitutes and appoints J.
Joe Ricketts and Robert T. Slezak, or either of them, such person's true and
lawful attorneys-in-fact and agents, with full power of substitution and
resubstitution, to sign any and all amendments (including post-effective
amendments) to this Registration Statement, and to file the same, with all
exhibits thereto, and other documents in connection therewith, with the
Securities and Exchange Commission.

           Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed below by the following persons in the
capacities indicated on April 30, 1999.

               /s/ J. Joe Ricketts                        
----------------------------------------------
                   J. Joe Ricketts
Director, Chairman and Chief Executive Officer
         (Principal Executive Officer)

               /s/ Robert T. Slezak
----------------------------------------------
                   Robert T. Slezak
     Director, Chief Financial Officer,
        Vice President and Treasurer
 (Principal Financial and Accounting Officer)

----------------------------------------------
                   Gene L. Finn
                   Director

----------------------------------------------
                   David L. Garrison
                   Director

----------------------------------------------
                   Thomas Y. Hartley
                   Director
6

               /s/ Joseph A. Konen
----------------------------------------------
                   Joseph A. Konen
                   Director

               /s/ Charles L. Marinaccio
----------------------------------------------
                   Charles L. Marinaccio
                   Director

               /s/ Mark L. Mitchell
----------------------------------------------
                   Mark L. Mitchell
                   Director

----------------------------------------------
                   John W. Ward
                   Director
7

                                  EXHIBIT INDEX

Exhibit   Description
-------   -----------

4.1       Form of Certificate for Class A Stock (filed as Exhibit Number 4.1 to
          the Company's Registration Statement on Form S-1 (File No. 333-17495),
          and incorporated herein by reference).

4.2       Ameritrade Holding Corporation Associates 401(k) Profit Sharing Plan
          and Trust.

23.1      Consent of Deloitte & Touche LLP.

24.1      Power of Attorney (appears on the signature page of this Registration
          Statement).