The invention provides a heat dissipation structure of a magnetic element and the magnetic element with the heat dissipation structure. The magnetic element comprises at least one winding, and each winding is provided with a plurality of heat dissipation pins. The heat dissipation structure comprises a circuit board, wherein a plurality of heat dissipation channels are arranged on the circuit board, and heat dissipation pins of the winding are connected with the heat dissipation channels of the circuit board; a plurality of heat conduction parts which are correspondingly laid under the heat dissipation channels of the circuit board; a heat conduction layer which is in contact with the heat conduction part; and a heat dissipation layer which is laid under the heat conduction layer and is incontact with the heat conduction layer. The heat dissipation structure disclosed by the invention can obtain a good heat dissipation effect, is simple in production process and relatively low in cost, and can improve the EMI performance of a system.