A cooked filled cheese product comprises an unbattered processed cheese coating around a filling. The filled cheese product is unbattered and unbreaded and retains its shape and filing throughout cooking, freezing, and/or subsequent reheating prior to consumption. The method of making the cheese product comprises cold extrusion of the cheese and filling, followed by cooking without any batter or breading resulting in a fried product having substantially no oil uptake. The cooking step may comprise frying to produce a fried filled cheese product.