A method of embedding a magnetic component in a substrate is disclosed. Holes are formed in a substrate by mechanically drilling. Each of the holes includes a top opening, a bottom and sidewall, wherein an area of the top opening is larger than that of the bottom. The sidewall extends from the top opening vertically downwards to a predetermined depth, and then is slanted inwardly to the bottom to form a sloped sidewall at the bottom of the hole. A predetermined region is defined along a portion of an edge of the top opening, and a portion of the substrate material under the predetermined region is removed by routing to form a component accommodation trench with a portion of the sloped sidewall at the bottom. Then, a magnetic component is placed into the component accommodation trench.