In 1974, Lilje graduated from the Tallinn State Conservatory (now Estonian Academy of Music and Theater).
In 1980, he graduated from the Rimsky-Korsakov St. Petersburg State Conservatory, studying under Arvids and Mariss Jansons.
His students included conductors such as Vello Pahn, Arvo Volmer, Erki Pehk, and Lauri Sirp.
In 1973, Lilje worked as a choirmaster at the Estonian National Opera and then moved on to be an assistant for the conductor Neeme Jarvi.
In 1975, Lilje made his debut performing Giuseppe Verdi's "La traviata".