A method of manufacturing a grinding wheel, and a grinding wheel. After a first overcoat layer is formed on each of CBN abrasive grains, a second overcoat layer that is plastically deformed under a pressure lower than a pressure under which the first overcoat layer is deformed, is formed on the outer side of the first overcoat layer to manufacture coated abrasive grains. The coated abrasive grains are subjected to pressure-molding to be formed into a prescribed shape under a pressure that is equal to or higher than a pressure under which the second overcoat layer is plastically deformed. The second overcoat layers are deformed and flow to form a molded material having a structure in which the first overcoat layers contact each other, and the flowing second overcoat layers are moved into clearances between the coated abrasive grains. By sintering this, CBN abrasive grains are dispersed at a prescribed distance that is determined by the degree of outer radius of each first overcoat layer, and vacancies are arranged therebetween at a prescribed density.