Multicomponent reactions of diazo compounds catalyzed by RhII complexes become a powerful tool for organic synthesis. They enable three- or four-step processes to be carried out as one-pot procedures (actually as one step) with high stereoselectivity to give complex organic molecules, including biologically active compounds. This review addresses recent results in the chemistry of Rh-catalyzed multicomponent reactions of diazocarbonyl compounds with the intermediate formation of N-, O- and C=O–ylides. The diastereo- and enantioselectivity of these reactions and the possibility of using various co-catalysts to increase the efficiency of the processes under consideration are discussed.