We study the spin-1/2 Kitaev-Heisenberg (KJ) model in a two-leg ladder. Without a Heisenberg interaction, the Kitaev phase in the ladder model has Majorana fermions with local Z2 gauge fields, and is usually described as a disordered phase without any order parameter. Here we identify a long-range nonlocal string order parameter (SOP) in the Kitaev phase which survives with a finite Heisenberg interaction. The SOP is obtained by relating the Kitaev ladder, through a nonlocal unitary transformation, to a one-dimensional X Y chain with an Ising coupling to a dangling spin at every site. This differentiates the Kitaev phases from other nearby phases including a rung singlet. Two phases with nonzero SOP corresponding to ferromagnetic and antiferromagnetic Kitaev interactions are identified. The full phase diagram of the KJ ladder is determined using exact diagonalization and density matrix renormalization group methods, which shows a striking similarity to the KJ model on a two-dimensional honeycomb lattice.