The effect of spatial hole burning (SHB) on dual-wavelength self-mode-locked lasers based on physically combined Nd:YVO4∕Nd:LuVO4 and Nd:YVO4∕Nd:KGW composite active medium is comparatively investigated. The length of the first Nd:YVO4 crystal is optimized to realize a highly compact and efficient TEM00-mode picosecond laser at 1.06 μm with optical conversion efficiency greater than 20%. When the SHB effect is enhanced by decreasing the separation between the input end mirror and the composite gain medium, it is experimentally found that not only the pulse duration monotonically decreases, but also the temporal behavior gradually displays a narrow-peak-on-a-pedestal shape for the Nd:YVO4∕Nd:LuVO4 scheme, while the multipulse operation can be obtained for the Nd:YVO4∕Nd:KGW configuration. These phenomena are further explored by numerically simulating mode-locked pulses from the experimentally measured optical spectra.