Self-heating effect is a major limitation in achieving the full performance potential of high power GaN power devices. In this work, we reported a micro-trench structure fabricated on the silicon substrate of an AlGaN/GaN high electron mobility transistor (HEMT) via deep reactive ion etching, which was subsequently filled with high thermal conductive material, copper using the electroplating process. From the current-voltage characteristics, the saturation drain current was improved by approximately 17% with the copper filled micro-trench structure due to efficient heat dissipation. The IDS difference between the pulse and DC bias measurement was about 21% at high bias VDS due to the self-heating effect. In contrast, the difference was reduced to approximately 8% for the devices with the implementation of the proposed structure. Using Micro-Raman thermometry, we showed that temperature near the drain edge of the channel can be lowered by approximately ~22 °C in a HEMT operating at ~10.6 Wmm−1 after the implementation of the trench structure. An effective method for the improvement of thermal management to enhance the performance of GaN-on-Silicon HEMTs was demonstrated.