Bimetallic core−shell nanoparticles (CSNPs), where a ferromagnetic core (e.g., Co) is surrounded by a noblemetal thin plasmonic shell (e.g., Au), are highly interesting for applications in biomedicine and catalysis. Chemical synthesis of such structures, however, requires multistep procedures and often suffers from impaired oxidation resistance of the core. Here, we utilized a one-step environmentally friendly laser ablation in liquid technique to fabricate colloidal Co−Au CSNPs with core−shell yields up to 78% in mass. An in-depth analysis of the CSNPs down to single-particle levels revealed the presence of a unique nested core−shell structure with a very thin gold-rich shell, a nanocrystalline ε-cobalt sublayer, and a nested gold-rich core. The generated Co−Au CSNPs feature soft magnetic properties, while all gold-rich phases (thin shells and nested cores) exhibit a face-centered cubic solid solution with substantial cobalt substitution. The experimental findings are backed by refined thermodynamic surface energy calculations, which more accurately predict the predominance of solid solution and core−shell phase structures in correlation with particle size and nominal composition. Based on the Co−Au bulk phase diagram and in conjunction with previously reported results on the Fe−Au core−shell system as well as Co− Pt controls, we deduce four general rules for core−shell formation in non-or partially miscible laser-generated bimetallic nanosystems.