A physicochemical analysis of the genesis of a unique Matryoshka-type diamond from the Nyurbinskaya kimberlite pipe of the Nakyn kimberlite field, Yakutia, Russia, was performed. The specimen consists of a host diamond with a cavity containing a loose diamond inclusion; two through holes with a width of 0.1–0.4 mm emerge from the cavity. The analysis is based on the mantle-carbonatite theory of the genesis of diamonds and associated phases developed on the basis of consistent results of a physicochemical experiment and an analytical study of paragenetic inclusions in natural diamonds from kimberlite deposits. The published data of crystal morphological and physical studies of the Matryoshka diamond were used as well. As a result, the physicogeochemical mechanisms of nucleation and crystallization of the host diamond with a cavity and diamond inclusion under the conditions of mass genesis of diamonds in completely miscible carbonate–eclogite–carbon melts of the upper-mantle diamond-forming chamber are substantiated. The initially closed cavity was filled with a diamond-forming carbonate–silicate melt with dissolved carbon. In addition, an analysis of the conditions of etching and dissolution of the host diamond and diamond inclusion during the kimberlite transport of diamond-bearing material from the mantle chamber to the depths of the Earth’s crust was performed. The reasons for the explosive formation of cone-shaped through holes in the main diamond, which was accompanied by the ejection of the diamond-forming medium and the filling of the cavity with (С–О–Н)-fluid-containing kimberlite melt, are considered. The final episodes of partial dissolution of diamonds from the Matryoshka sample by kimberlite and assimilated melts continued during the formation of a cumulative chamber in the Earth’s crust and its solidification with the release of a highly compressed C–O–H fluid. “Fluid drilling” of the top of the cumulative chamber stimulated the explosive formation of the Nyurbinskaya pipe and its filling with kimberlite and assimilated diamondiferous matter. With prolonged compaction of this substance, the Matryoshka diamond was subjected to atmospheric and hydrothermal factors, as is evidenced by fine-grained sedimentary barite, a mineral of barium sulphate, found in the through holes of the host diamond.