A stimulation lead includes a lead body. Terminals and electrodes are disposed along opposing end portions of the lead body and are electrically-coupled to one another via conductors. The electrodes include segmented electrodes. Each of the segmented electrodes includes a proximal end, a distal end, an exterior surface, an interior surface opposite the exterior surface, a first side-wall extending radially between the interior surface and the exterior surface from the distal end to the proximal end, and a second side-wall opposite to the first side-wall and extending radially between the interior surface and the exterior surface from the distal end to the proximal end. At least one of the segmented electrodes defines an open cavity that is formed along the first side-wall of the segmented electrode and that facilitates adhesion of the segmented electrode to the lead body.