This paper discusses the analysis of Coupled Inductors (CIs) in Switch-Mode Power Supplies (SMPSs), with saturation and thermal effects. A Single-Ended Primary Inductor Converter (SEPIC) topology is considered as a case study and a numerical procedure is proposed to reliably evaluate the CI windings current waveforms, including the effects of the real voltage across the coupling capacitor, and of the power losses, saturation and thermal characteristics of the CI. PSIM circuit simulations prove the validity of the proposed numerical method. The analysis of two commercial CI families eventually shows that small-volume CIs operating under moderate saturation are a viable solution to achieve higher SMPS power density.