The effect of optical self-diffraction occurs when an intensive interference field is created in a nonlinear optical medium. The aim of this work was to study the self-diffraction effect in magnetic fluids, i.e. generation of an optical grating by laser interference field due to the thermal diffusion phenomenon known as Soret effect. For the experiment we have used magnetic fluids with fine Fe3O4 particles with various carrier base (water, kerosene, mineral oil). The proof of self-diffraction was evident from the observation of diffraction patterns. In our experiments we have observed the Soret effect with negative Soret constant.