Dissipative Kerr solitons (DKSs) in optical microresonators have been intensely studied from the perspective of both fundamental nonlinear physics and portable and low power technological applications in communications, sensing, and metrology. In parallel, synthetic dimensions offer the promise of studying physical phenomena with a dimensionality beyond that imposed by geometry, and have been implemented in optics. The interplay of DKS physics with synthetic dimensions promises to unveil numerous new physical and technological insights, yet many fundamental challenges remain. In particular, DKSs intrinsically rely on dispersion to exist while the creation of synthetic frequency lattices typically needs a dispersion-less system. We present a change of paradigm with the creation of a synthetic frequency lattice in the eigenfrequency space of a dispersive multi-color soliton through all-optical nonlinear coupling -compatible with octave spanning microcombsharnessing the interplay between the cavity dispersion and the dispersion-less nature of the DKS. We examine theoretically and experimentally the nonlinear coupling mechanism in a 1 THz repetition rate resonator and demonstrate four-wave mixing Bragg scattering between the different wavepackets forming the multi-color soliton, with the microcomb ranging over 150 THz, yielding a complex all-optical and integrated synthetic frequency lattice.