In a stator of a vehicle rotary electric machine, a stator winding includes U-shaped conductor segments having a pair of straight portions disposed in a pair of slots spaced apart at a fixed pitch in layers. Each U-shaped conductor segment has a generally rectangular cross section and a width to fit the slot. The U-shaped conductor segments are formed of large size U-shaped conductor segments and small size U-shaped conductor segments, and each of the large size U-shaped conductor segments has a pair of straight portions disposed at radially opposite ends of the layers and have corners whose radius is larger than corners of the small size U-shaped conductor segments. Therefore, it is easy to form rounded corners at portions of the stator winding thereby to provide uniform insulation coating at surfaces of the stator winding exposed to foreign particles.