Embodiments of an electromagnetic coil assembly are provided, as are methods for the manufacture of an electromagnetic coil assembly. In one embodiment, the method includes joining a first end portion of a braided lead wire to a coiled magnet wire. A dielectric-containing material is applied in a wet-state over the coiled magnet wire and over the first end portion of the braided lead wire. The dielectric-containing material is cured to produce an electrically-insulative body in which the coiled magnet wire and the first end portion of the braided lead wire are at least partially embedded. Prior to application of the dielectric-containing material, the braided lead wire is at least partially impregnated with a masking material deterring wicking of the dielectric-containing material into an intermediate portion of the braided lead wire.