We report our latest results on holographic gratings based on nanoparticle-polymer composites (NPC) including nanodiamonds with large refractive index modulation amplitude for cold and very cold neutrons (1 nm < λ <10 nm). Diamond has the best combined neutron optical properties: high coherent scattering length, low incoherent scattering and low absorption. These unique properties allowed us to create phase gratings with large refractive index modulation, high thermal and mechanical stability, and also exhibiting large area holograms compared to NPC gratings incorporating other types of nanoparticles. We discuss the measured light and neutron diffraction properties of nanodiamond NPC gratings. It is shown that the NPC gratings exhibit extremely large scattering length density modulation amplitudes and as a result high diffraction efficiencies for cold and very-cold neutrons. We also discuss possible applications of nanodiamond NPC gratings in neutron optics.