This paper proposes a sampling-based sensitivity method for dealing with electromagnetic coupled design problems effectively. The black-box modeling technique is basically applied to obtain an optimum regardless of how strong the electromagnetic, thermal and structural analyses are coupled with each other. To achieve this, Kriging surrogate models are produced in a hyper-cubic local window with the center of a current design point. Then design sensitivity values are extracted from the differentiation of basis functions which consist of the models. The proposed method falls under a hybrid optimization method which takes advantages of the sampling-based and the sensitivity-based methods. Owing to the aforementioned feature, the method can be applied even to electromagnetic problems of which the material properties are strongly coupled with thermal or structural outputs. To examine the accuracy and validity of the proposed method, a strongly nonlinear mathematical example and a coil design problem for local induction heating are tested.