High power density converter (HPDC) is important for more electric aircraft (MEA) applications, and high power density EMI filter is essential in HPDC systems, which suppresses EMI to meet the electromagnetic compatibility (EMC) requirement. Common mode choke (CMC) is a critical component of the EMI filter. Due to higher core loss and harsh operating temperature environment, thermal analysis of CMC is necessary as part of the EMI filter design, which is the main focus of this paper. This paper includes review of cooling concepts for high power density magnetic components, thermal modeling of CMC and cooling system design of CMC with 3-D finite element method (FEM).