We report a breakthrough in the search for versatile diffractive elements for cold neutrons. Nanoparticles are spatially arranged by holographical means in a photopolymer. These grating structures show remarkably efficient diffraction of cold neutrons up to about 50% for effective thicknesses of only 200 micron. They open up a profound perspective for next generation neutron-optical devices with the capability to tune or modulate the neutron diffraction efficiency.