We construct isometric and conformally isometric embeddings of some gravitational instantons in $mathbb{R}^8$ and $mathbb{R}^7$. In particular we show that the embedding class of the Einstein--Maxwell instanton due to Burns is equal to $3$. For $mathbb{CP}^2$, Eguchi--Hanson and anti-self-dual Taub-NUT we obtain upper and lower bounds on the embedding class.