how to embeded the Nios software into FPGA sof file?

There are two different ways for NiosII executable code storage:

1. Executable code is stored in On-Chip RAM directly. This is according to your first attempt:

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In Nios I generated the mem_init file, and added them into my quartus project, and the reset vector I set to the on-chip ram, then after I programmed the .sof file into FPGA, it works

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In this case you need not the epcs_flash_controller in your system. Both Reset and Exeption vectors must point to On-Chip RAM. If you convert this sof file to jic, and program this jic to EPCS, your project will start the work after power is up.

I don't know, why your project doesn't start. Did you recompile quartus project after mem_init hex file was added?

If yes, may be your jic has been created incorrectly, or some problem occured during EPCS programming.

2. Executable code is stored in the EPCS. This is according to your second attempt:

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I changed the reset vector to EPCS controller, it still doesn't work

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In this case the epcs_flash_controller is nesessary in your system. The reset vector must point to the epcs_flash_controller, which contains the bootcopier code. The exeption vector must point to On-Chip RAM because your .text segment is still located there.

After power is up, NiosII start the execution of the bootcopier code from epcs_flash_controller internal ROM. This bootcopier gets application executible code from EPCS and stores it into On-Chip RAM. After bootcopier has finished its work the control passes to the application executible code in the On-Chip RAM.