We study a Renormalization Group transformation that can be used also for models with quenched disorder, like spin glasses. The method is based on a mapping between disorder distributions, chosen such as to keep some physical properties (e.g. the ratio of correlations) invariant under the transformation. We validate this Ensemble Renormalization Group by applying it to the hierarchical model (both the diluted ferromagnetic version and the spin glass version), finding results in agreement with Monte Carlo simulations.