The effects move with you.

The 5e SRD Appendix C details how the planes of existence behave. There's nothing to suggest magic behaves any differently in the ethereal plane than the material plane (outside of some spells that have explicit interactions with the ethereal plane). The effect would move into the ethereal plane with you and remain active at your new location. It would cease to function where you used to be.

Project image remains where it was placed because it does not follow you or remain centered on you.

Floating disk cannot move with you as you fly because that case is addressed in the spell description:

It can move across uneven terrain, up or down stairs, slopes and the like, but it can’t cross an elevation change of 10 feet or more. [...]

If you move more than 100 feet from the disk (typically because it can’t move around an obstacle to follow you), the spell ends.

Emphasis mine.

Mirror image and warding wind do not impose restrictions on where the effects can follow you, so there is nothing to indicate planar travel is off-limits.

Sort of

When you are trapped in the ethereal plane, there are no official ways to damage enemies in the material plane, but there are some spells that interact with both planes at a given time. From Appendix C of the basic rules, under the "Transitive Planes" heading:

Some magical effects also extend from the Material Plane into the Border Ethereal, particularly effects that use force energy such as forcecage and wall of force.

It stands to reason that one of these spells cast on the Ethereal Plane would extend into the Material Plane.

Homebrew Options

In my current campaign I've been GM'ing recently my players got stuck in the ethereal plane and I gave them the option to construct devices to allow for certain effects to transfer over (mostly force damage spells). One of my player's artificer constructed a magical pseudo-Gate that allowed for only force spells to go through. It is mentioned in the description for the Ethereal Plane that it would be easier for effects that use force energy to extend into the plane so it seemed reasonable to allow for an option less than a full gate.