The present invention relates to an electrode wire for electric discharge machining and a method for manufacturing same. The electrode wire has a structure in which a coating layer is formed on the surface of a core wire, wherein the coating layer is an alloy layer of nickel and zinc. The coating layer may be formed by the steps of: forming a nickel layer on the surface of the core wire; forming a zinc layer on the surface of the nickel layer; and forming an alloy layer of nickel and zinc through diffusion heat treatment. The electrode wire and the method for manufacturing same of the present invention, by forming the nickel layer having a high melting point and high hardness in the step before forming the zinc layer and then applying diffusion heat treatment to the nickel layer so as to form a tightly bonded nickel-zinc alloy layer on the core wire surface, are capable of withstanding high heat generated during electric discharge machining, increasing an applied voltage, and improving a flushing effect, an automatic wiring rate by surface hardening, and a function of keeping a mold surface clean.