The synthesis of novel allylic α‐diazo carbonyl compounds was achieved through a one‐pot strategy involving base‐catalyzed allylation of 1,3‐dicarbonyls with readily available allylic bromides followed by the deacylative diazo transfer reaction. Besides the broad substrate scope related to this method, other relevant features include the use of simple and inexpensive reagents, non‐toxic solvents and mild reaction conditions. The synthetic utility of these α‐diazo‐γ,δ‐unsaturated esters was further demonstrated through rhodium‐catalyzed transformations, where the type of product formed is dependent on both the substrate and catalyst employed. Thus, treating α‐diazo‐γ,δ‐unsaturated esters with catalytic Rh2(pfb)4 in acetonitrile under reflux resulted in a diastereoselective β‐hydride migration to give 2Z,4E‐dienes in good yields. On the other hand, the combination of Rh2(OAc)4 as the catalyst in toluene under reflux for 10 min led the aryl‐substituted diazo compounds to a regioselective intramolecular Buchner reaction to furnish 5,7‐fused bicyclic tetraenes in high yields, while the alkyl‐substituted analogues undergo intramolecular C–H insertion to give functionalized cyclopentenes of anti‐configuration.