Semiconductor die assemblies having high efficiency thermal paths and molded underfill material. In one embodiment, a semiconductor die assembly comprises a first die and a plurality of second dies. The first die has a first functionality, a lateral region, and a stacking site. The second dies have a different functionality than the first die, and the second dies are in a die stack including a bottom second die mounted to the stacking site of the first die and a top second die defining a top surface of the die stack. A thermal transfer structure is attached to at least the lateral region of the first die and has a cavity in which the second dies are positioned. An underfill material is in the cavity between the second dies and the thermal transfer structure, and the underfill material covers the top surface of the die stack.