Semiconductor device assemblies with underfill containment cavities are disclosed herein. In one embodiment, a semiconductor device assembly can include a first semiconductor die having a base region formed from a substrate material, a recessed surface along the base region, a peripheral region formed from the substrate material and projecting from the base region, and a sidewall surface along the peripheral region and defining a cavity with the sidewall surface in the peripheral region. The semiconductor device assembly further includes a thermal transfer structure attached to the peripheral region of the first die adjacent the cavity, and an underfill material at least partially filling the cavity and including a fillet between the peripheral region and the stack of second semiconductor dies.