Semiconductor device assemblies with heat transfer structures formed from semiconductor materials are disclosed herein. In one embodiment, a semiconductor device assembly can include a thermal transfer structure formed from a semiconductor substrate. The thermal transfer structure includes an inner region, an outer region projecting from the inner region, and a cavity defined in the outer region by the inner and outer regions. The semiconductor device assembly further includes a stack of first semiconductor dies in the cavity, and a second semiconductor die attached to the outer region of the thermal transfer structure and enclosing the stack of first semiconductor dies within the cavity.