It doesn't appear that there is a "correct" version. There is no official organization for Environment, Health and Safety. Wikipedia lists both as usable and includes HES to boot:
Environment, Health and Safety (EHS) – also Safety, Health and Environment (SHE) or HES – is often used as the name of a department in corporations and government agencies.
If you are referring to a specific department, you should obviously use their name. If you are creating a new department, I suggest looking up your local city or state department to see if they offer a specific form. I prefer EHS because it doesn't collide with the word "she" while searching which made it a little hard to search for usage.