We report on the design, fabrication and optical performance of gain mirrors in single crystal diamond substrates for vertical external cavity surface emitting lasers (VECSELs). VECSELs have gained attention recently due to their potential for high emission power in single mode with low beam divergence, yet their maximum output power remains typically limited due to thermal roll-over resulting from insufficient heat dissipation. In order to increase the heat transfer, we exploit the excellent thermal conductivity of single crystal diamond, which is assembled in direct contact with the active structure. The optical cavity is hereby defined by an output coupler and a high reflection grating structure etched into the diamond surface. We here present the design and microfabrication of a diffraction grating that was optimized to reflect light into the 0th order, therefore combining the role of a gain mirror and a heatsink at the same time. Our process involved metal mask deposition onto the diamond surface, e-beam lithography and reactive ion etching. Characterization showed reflection above 95% at a center wavelength of 1550 nm, potentially allowing the integration of the diamond mirror into a vertical external cavity surface emitting laser.