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.