Transition metal diborides with core-shell microstructures have demonstrated excellent mechanical properties at elevated temperatures. Previous studies concluded that core-shell microstructures were formed by liquid-assisted mass transport mechanisms, but in this study, we propose a solid-state formation mechanism for core-shell microstructures in (Zr,Ta)B2 ceramics produced by reaction hot pressing and in ZrB2-TaB2 diffusion couples. Diffusion couple experiments demonstrated that core-shell microstructures developed as a result of Ta diffusion along ZrB2 grain boundaries, which occurred concurrently with lattice diffusion of Ta into ZrB2. These findings suggest that with optimization of batching and processing parameters, core-shell diboride materials may be formed through solid-state processes rather than liquid-assisted processes, which could assist in raising the upper temperature limits of use for these materials.