The European Holocaust Research Infrastructure (EHRI) aims to support Holocaust research by making information about dispersed Holocaust material accessible and interconnected through its services. Creating a tool capable of detecting named entities in texts such as Holocaust testimonies or archival descriptions would make it easier to link more material with relevant identifiers in domain-specific controlled vocabularies, semantically enriching it, and making it more discoverable. With this paper, we release EHRI-NER, a multilingual dataset (Czech, German, English, French, Hungarian, Dutch, Polish, Slovak, Yiddish) for Named Entity Recognition (NER) in Holocaust-related texts. EHRI-NER is built by aggregating all the annotated documents in the EHRI Online Editions and converting them to a format suitable for training NER models. We leverage this dataset to fine-tune the multilingual Transformer-based language model XLM-RoBERTa (XLM-R) to determine whether a single model can be trained to recognize entities across different document types and languages. The results of our experiments show that despite our relatively small dataset, in a multilingual experiment setup, the overall F1 score achieved by XLM-R fine-tuned on multilingual annotations is 81.5\%. We argue that this score is sufficiently high to consider the next steps towards deploying this model.