A lead with segmented electrodes can be made using one or two mold methods. In one method, segmented electrodes are individually disposed on pins on an interior surface within a mold. Each of the segmented electrodes has at least one opening formed in the exterior surface of the segmented electrode. The lead body is then molded between the electrodes. In a two mold method, segmented electrodes are inserted into electrode slots of a first mold and an interior portion of a lead body is formed. The resulting intermediate arrangement is placed into a second mold to form an exterior portion of the lead body. In another two mold method, a sacrificial ring is formed around the segmented electrodes in a first mold and the resulting intermediate structure is inserted in a second mold to form the lead body. The sacrificial ring is then removed.