Embodiments of a high temperature electromagnetic coil assembly are provided, as are embodiments of a method for fabricating such a high temperature electromagnetic coil assembly. In one embodiment, the method includes the steps of applying a high thermal expansion ceramic coating over an anodized aluminum wire, coiling the coated anodized aluminum wire around a support structure, and curing the high thermal expansion ceramic coating after coiling to produce an electrically insulative, high thermal expansion ceramic body in which the coiled anodized aluminum wire is embedded.