Semiconductor device assemblies having stacked semiconductor dies and thermal transfer devices that include vapor chambers are disclosed herein. In one embodiment, a semiconductor device assembly includes a first semiconductor die having a base region, at least one second semiconductor die at the base region, and a thermal transfer device attached to the first and second dies. The thermal transfer device includes an encapsulant at least partially surrounding the second die and a via formed in the encapsulant. The encapsulant at least partially defines a cooling channel that is adjacent to a peripheral region of the first die. The via includes a working fluid and/or a solid thermal conductor that at least partially fills the channel.