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, a second semiconductor die on a base region of the first die, and a thermal transfer device attached to a peripheral region of the first die and extending over the second die. The thermal transfer device includes a conductive structure having an internal cavity and a working fluid at least partially filling the cavity. The conductive structure further includes first and second fluid conversion regions adjacent the cavity. The first fluid conversion region transfers heat from at least the peripheral region of the first die to a volume of the working fluid to vaporize the volume in the cavity, and the second fluid conversion region condenses the volume of the working fluid in the cavity after it has been vaporized.