To provide an electrode wire for electrical discharge machining including β-brass and γ-brass arranged on an outer peripheral surface of a core and a method of manufacturing the electrode wire, capable of enhancing wire connection performance and cutting down manufacturing cost while trying to increase a processing speed.The electrode wire for electrical discharge machining according to this invention comprises: an external layer including β-brass and γ-brass; and a core having an undulating shape formed at a boundary surface with the external layer. The β-brass and the γ-brass are arranged densely and sparsely at the boundary surface of the undulating shape. The method of manufacturing an electrode wire for electrical discharge machining according to this invention comprises: a thermal processing step of executing thermal process on a base material under a predetermined thermal processing condition, the base material having a core with a zinc-coated surface; and a wire drawing step of drawing a base wire under a predetermined wire drawing condition provided with β-brass and γ-brass formed at the surface of the core by the thermal process to make the γ-brass reach the core, thereby forming a boundary surface of the core with an external layer into an undulating shape.