A rotary electric machine includes a stator extending along an axis and having teeth arranged about the axis. The teeth are circumferentially spaced apart by slots. Conductors extend around the teeth and through the slots. The conductors are electrically connected to one another to form phases. A cooling device is provided in at least one winding slot. The cooling device includes an outer tube and an inner tube provided in the outer tube such that cooling fluid flows in a first axial direction within the inner tube and a second axial direction opposite the first axial direction within the outer tube.