A method of forming cooling channels in a component is provided. The component has a substrate having outer and inner surfaces. The inner surface defines at least one interior space, and a core is disposed within each interior space. The method includes forming at least one access hole in the substrate, while the core is disposed within the respective interior space, removing the core from the respective interior space, and forming at least one groove in the outer substrate surface (before or after the core is removed). Each access hole connects the groove in fluid communication with the respective interior space. The method further includes disposing a coating over at least a portion of the outer substrate surface, where the coating includes at least a structural coating that extends over the groove(s), such that the groove(s) and the structural coating together define one or more channels configured to convey a coolant from the respective interior space(s) for cooling the component.