An entirely integrated EMI filter is based on a flexible multi-layer strip material. An EE or EI core comprises two side pillars and one middle pillar and forms a closed magnetic circuit. The middle pillar has an air gap. A first winding and a second winding respectively are wound around the two side pillars in a same winding direction. The middle pillar is wound with a third winding and a fourth winding, or with only a fifth winding. Passive components (e.g., all passive components) of the EMI filter are integrated into one core so that in its differential mode, insertion loss is significantly reduced, the size and volume are reduced, and the distribution constant of the EMI filter has less impact on the filter's performance.