Near-infrared observations (0.9-2.5 μm) provide valuable information on a multitude of astronomical objects, but ground-based observations at these wavelengths are typically sky-background dominated due to atmospheric OH emission lines. These can be filtered out using a photonic component known as a fibre Bragg grating. As with most photonic components, fibre Bragg gratings are effective only in single-mode fibres, whereas light delivered by astronomical telescopes is multimodal in nature. The conversion of multimode light into several single-mode signals can be done using a photonic lantern. However, fibre-based photonic lanterns with fibre Bragg gratings are very complex to make. We are developing an integrated, miniature version of both, in which we use the ultrashort laser direct write technique to fabricate photonic lanterns with gratings in nearly a one-step process. Our first results demonstrate the feasibility of such approach. Our devices have uniform and 5 dB strong gratings reflecting 1545 nm and 1552 nm across all the single-mode waveguides of the photonic lantern. We believe that integrated photonic lanterns can highly improve the quality of astronomical data.