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UNITED STATESSECURITIES AND EXCHANGE COMMISSIONWASHINGTON, D.C.
20549

FORM 40-F

[ ] REGISTRATION STATEMENT PURSUANT TO SECTION 12 OF THE
SECURITIES EXCHANGE ACT OF 1934

OR

[ x ] ANNUAL REPORT PURSUANT TO SECTION 13(a) OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

|For the fiscal period ended February 29, 2008 | Commission File Number: **000-30588**
|--------------------------------------------- | -------------------------------------

ROCKWELL DIAMONDS
INC.(Exact name of Registrant as specified in its
charter)

|British Columbia Canada            | 1040                         | Not Applicable     
|---------------------------------- | ---------------------------- | -------------------
|(Province or Other Jurisdiction of | (Primary Standard Industrial | (I.R.S. Employer   
|Incorporation or Organization)     | Classification Code)         | Identification No.)

|Level 0, Wilds View, Isle of Houghton,                                          
|--------------------------------------------------------------------------------
|Cnr. Carse OGowrie & Boundary Rd,                                              
|Houghton Estate, Johannesburg 2198                                              
|P O Box 3011 Houghton, South Africa, 2041                                       
|(Address and telephone number of Registrants
      principal executive offices)

Securities registered or to be registered pursuant to section
12(b) of the Act:

|Title Of Each Class         | Name Of Each Exchange On Which Registered           
|--------------------------- | ----------------------------------------------------
|Common Shares, no par value | National Association of Securities Dealers
      OTC
|                            | Bulletin Board                                      

|Securities registered or to be registered
      pursuant to Section 12(g) of the Act: None                                                                                                                                                                                                                                                                                                
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|                                                                                                                                                                                                                                                                                                                                                                                          
|Securities for which there is a reporting
      obligation pursuant to Section 15(d) of the Act: None                                                                                                                                                                                                                                                                                     
|                                                                                                                                                                                                                                                                                                                                                                                          
|For annual reports, indicate by check mark the
      information filed with this Form:                                                                                                                                                                                                                                                                                                    
|[ x ] Annual Information Form                                                                                                                                                                                                                                                                                                                                                             
|                                                                                                                                                                                                                                                                                                                                                                                          
|Indicate the number of outstanding shares of
      each of the Registrants classes of capital or common stock as of the
      close of the period covered by the annual report: 223,755,854Common Shares                                                                                                                                                                                 
|                                                                                                                                                                                                                                                                                                                                                                                          
|Indicate by check mark whether the Registrant
      by filing the information contained in this Form is also thereby
      furnishing the information to the Commission pursuant to Rule 12g3-2(b)
      under the Securities Exchange Act of 1934 (the Exchange Act). If yes
      is marked, indicate the file number assigned to the Registrant in
      connection with such Rule.
|Yes [ ]                                                                                                                                                                                                                                                                                                                                                                                   
|                                                                                                                                                                                                                                                                                                                                                                                          
|Indicate by check mark whether the Registrant
      (1) has filed all reports required to be filed by Section 13 or 15(d) of
      the Exchange Act during the preceding 12 months (or for such shorter
      period that the Registrant was required to file such reports), and (2) has
      been subject to such filing requirements for the past 90 days.                             
|Yes [ x ]                                                                                                                                                                                                                                                                                                                                                                                 

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INTRODUCTORY INFORMATION

In this annual report, references to the Company or
Rockwell mean Rockwell Diamonds Inc. and its subsidiaries, unless the context
suggests otherwise.

Unless otherwise indicated, all amounts in this annual report
are in Canadian dollars and all references to $ mean Canadian dollars.

PRINCIPAL DOCUMENTS

The following documents that are filed as exhibits to this
annual report are incorporated by reference herein:

- the Companys Annual Information Form for the period ended February 29,
  2008;
- the Companys Audited Consolidated Financial Statements as at February 29,
  2008 and May 31, 2007 and for the nine months ended February 29, 2008 and
  years ended May 31, 2007 and 2006;
- the Companys Management Discussion and Analysis for the nine months ended
  February 29, 2008 and years ended May 31, 2007 and 2006; and

FORWARD-LOOKING STATEMENTS

This annual report includes or incorporates by reference
certain statements that constitute forward-looking statements within the
meaning of the United States Private Securities Litigation Reform Act of
1995. These statements appear in a number of places in this annual report
and documents incorporated by reference herein and include statements regarding
the Companys intent, belief or current expectations and those of the Companys
management. These forward-looking statements involve known and unknown risks and
uncertainties that may cause the Companys actual results, performance or
achievements to be materially different from any future results, performance or
achievements expressed or implied by such forward-looking statements. When used
in this annual report or in documents incorporated by reference in this annual
report, words such as believe, anticipate, estimate, project, intend,
expect, may, will, plan, should, would, contemplate, possible,
attempts, seeks and similar expressions are intended to identify these
forward-looking statements. These forward-looking statements are based on
various factors and were derived utilizing numerous assumptions that could cause
the Companys actual results to differ materially from those in the
forward-looking statements. Accordingly, readers are cautioned not to put undue
reliance on these forward-looking statements. Forward-looking statements
include, among others, statements regarding:

- the Companys acquisition plans;
- the Companys expected financial performance in future periods;
- the Companys plan of operations, including its plans to carry out
  exploration and development activities;
- the Companys expectations regarding the results of operations at its South
  African operating subsidiaries and exploration and development potential of
  the Companys properties; and
- the Companys statement of reserves;
- factors relating to the Companys investment decisions.

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Certain of the assumptions the Company has made include
assumptions regarding, among other things:

- future commodity prices;
- the cost of carrying out exploration and development activities on certain
  of the Companys mineral properties;
- the Companys ability to obtain and keep the necessary expertise in order
  to carry out its operating, exploration and development activities within the
  planned time periods; and
- the Companys ability to obtain adequate financing on acceptable terms.

Some of the risks and uncertainties that could cause the
Companys actual results to differ materially from those expressed in the
Companys forward-looking statements include:

Risks Associated With Mining

- There is no assurance that Rockwell can formally establish the existence of
  any mineral reserve on any of its properties. Until Rockwell is able to
  establish a mineral reserve, there can be no assurance that production from
  these properties will continue for any period of time and if production fails,
  Rockwell's business may ultimately fail.
- Even if Rockwell discovers a mineral reserve, there can be no assurance
  that the related property will be developed.
- Mineral operations are subject to applicable law and government regulation.
  Even if Rockwell discovers a mineral resource in a commercially exploitable
  quantity, these laws and regulations could restrict or prohibit the
  exploitation of that mineral resource. If Rockwell cannot exploit any mineral
  resource that it might discover on our properties, its business may fail.
- Mineral exploration and development are subject to extraordinary operating
  risks. Rockwell does not currently insure against these risks. In the event of
  a cave-in or similar occurrence, Rockwell's liability may exceed its
  resources, which would have an adverse impact on Rockwell
- The prediction of grade can be more challenging for the type of deposit
  which the Company is exploiting.
- Mineral prices are subject to dramatic and unpredictable fluctuations.
- The mining industry is highly competitive and there is no assurance that
  Rockwell will continue to be successful in acquiring mineral claims. If
  Rockwell cannot continue to acquire properties to explore for mineral
  resources, it may be required to reduce or cease operations.

Risks Related to Rockwell

- Rockwell requires additional financing in order to continue in business as
  a going concern, the availability of which is uncertain.
- There is no guarantee of title to Rockwell's properties
- Surveys have not been performed on all the properties
- Some of Rockwell's directors and officers serve on the boards of other
  exploration companies, which could potentially give rise to conflicts of
  interest
- The loss of any of Rockwell's key management employees could have a
  material adverse effect on Rockwell's business

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- Rockwell's properties are located in South Africa, the Democratic Republic
  of the Congo, and Chile and its operations there may be affected by varying
  degrees of political and economic uncertainties
- South African government empowerment initiatives may adversely affect
  Rockwell's ability to obtain or maintain permits and licenses for mining
  rights in South Africa.
- Absence of dividends
- Rockwell is subject to potentially volatile exchange rate fluctuations
- Rockwell expects to be a passive foreign investment company, which could
  have consequences for U.S. investors.
- Rockwell's stock is a penny stock. Trading of Rockwell's stock may be
  restricted by the SEC's penny stock regulations which may limit a
  stockholder's ability to buy and sell Rockwell's stock.
- NASD sales practice requirements may also limit a stockholder's ability to
  buy and sell Rockwell's stock.
- Rockwell has a significant number of outstanding options and warrants, the
  exercise of which could result in significant equity dilution.

Readers are referred to the section entitled Risk Factors in
the Companys Annual Information Form. The Company assumes no obligation to
update or to publicly announce the results of any change to any of the
forward-looking statements contained or incorporated by reference herein to
reflect actual results, future events or developments, changes in assumptions or
changes in other factors affecting the forward-looking statements.

CAUTIONARY NOTE TO UNITED STATES INVESTORS CONCERNING
ESTIMATES OF RESERVES AND MEASURED, INDICATED AND INFERRED RESOURCES

The documents that have been incorporated by reference into
this annual report use the terms measured resources, indicated resources and
inferred resources. These resource estimates have been prepared in accordance
with Canadian National Instrument 43-101 Standards of Disclosure for Mineral
Projects and the Canadian Institute of Mining and Metallurgy Classification
System. These standards differ significantly from the requirement of the United
States Securities and Exchange Commission (the SEC). Investors are advised
that while the terms measured resources, indicated resources and inferred
resources are recognized and required by Canadian regulations, including
Canadian National Instrument 43-101, the SEC does not recognize them. Under
United States standards, mineralization may not be classified as a reserve
unless the determination has been made that the mineralization could be
economically and legally produced or extracted at the time the reserve
determination is made and all permits are in hand or are expected to be issued
in the near future. Investors are cautioned not to assume that any part or
all of the mineral deposits in these categories will ever be converted into
reserves.These terms have a great amount of uncertainty as to their
existence, and great uncertainty as to their economic and legal feasibility. It
cannot be assumed that all or any part of measured mineral resources, indicated
mineral resources, or inferred mineral resources will ever be upgraded to a
higher category. Investors are cautioned not to assume that any part of the
reported measured mineral resources, indicated mineral resources, or inferred
mineral resources in this annual report is economically or legally mineable.
Further, inferred resources have a great amount of uncertainty as to their
existence and as to whether they can be mined legally or economically.
Therefore, United States investors are also cautioned not to assume that all or
any part of the inferred resources exist. In accordance with Canadian rules,
estimates of inferred mineral resources cannot form the basis of feasibility or
other economic studies.

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Disclosure of contained ounces in mineral resources is
permitted disclosure under Canadian regulations; however, the SEC only permits
issuers to report mineralization that does not qualify as reserves as in place
tonnage and grade without reference to unit measures. For all of the above
reasons, information contained in this annual report and the documents
incorporated by reference herein containing descriptions of our reserves and
resources may not be comparable to information made public by U.S. domestic
issuers.

NI 43-101 is a rule developed by the Canadian Securities
Administrators that establishes standards for all public disclosure an issuer
makes of scientific and technical information concerning mineral projects.
Unless otherwise indicated, all reserve and resource estimates contained in or
incorporated by reference in this annual report have been prepared in accordance
with NI 43-101. These standards differ significantly from the requirements of
the SEC, and reserve and resource information contained herein and incorporated
by reference herein may not be comparable to similar information disclosed by
U.S. domestic issuers.

NOTE TO UNITED STATES READERS REGARDING DIFFERENCES
BETWEEN UNITED STATES AND CANADIAN REPORTING PRACTICES

The Company is permitted to prepare this annual report in
accordance with Canadian disclosure requirements, which are different from those
of the United States. The Company prepares its consolidated financial statements
in accordance with Canadian generally accepted accounting principles (Canadian
GAAP) which principles differ in certain respects from those applicable in the
United States (US GAAP) and from practices prescribed by the SEC. Please refer
to note 16 of the consolidated financial statements of the Company as at
February 29, 2008 and May 31, 2007 and for the nine months ended February 29,
2008 and years ended May 31, 2007 and 2006, as set forth in this Form 40-F.

DISCLOSURE CONTROLS AND PROCEDURES

As of the end of the period covered by this report, our
management carried out an evaluation, with the participation of our Chief
Executive Officer and Chief Financial Officer, of the effectiveness of our
disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e)
under the Securities Exchange Act of 1934 (the Exchange Act)). Based
upon that evaluation, our Chief Executive Officer and Chief Financial Officer
concluded that, as of the end of the period covered by this report, our
disclosure controls and procedures were effective in recording, processing,
summarizing and reporting, on a timely basis, information required to be
disclosed in reports that we file or submit under the Exchange Act.

While our Chief Executive Officer and our Chief Financial
Officer believe that our disclosure controls and procedures provide a reasonable
level of assurance of effectiveness, they do not expect that our disclosure
controls and procedures or internal control over financial reporting will
prevent all errors and fraud. A control system, no matter how well conceived or
operated, can provide only reasonable, not absolute, assurance that the
objectives of the control system will be met.

INTERNAL CONTROL OVER FINANCIAL REPORTING

The management of the Company is responsible for establishing
and maintaining adequate internal controls over financial reporting. The
Companys internal control system was designed to provide reasonable assurance
to the Companys management and the board of directors regarding the preparation

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and fair presentation of published financial statements.
Internal control over financial reporting includes those policies and procedures
that: (1) pertain to the maintenance of records that in reasonable detail
accurately and fairly reflect the transactions and dispositions of the assets of
the Company (2) provide reasonable assurance that transactions are recorded as
necessary to permit preparation of financial statements in accordance with GAAP,
and that receipts and expenditures of the Company are being made only in
accordance with authorizations of management and directors of the Company and
(3) provide reasonable assurance regarding prevention or timely detection of
unauthorized acquisition, use or disposition of the Companys assets that could
have a material effect on the financial statements. All internal control
systems, no matter how well designed, have inherent limitations. Therefore, even
those systems determined to be effective can provide only reasonable assurance
with respect to financial statement preparation and presentation.

The Companys management, with the participation of the Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of internal control over financial reporting based on the
framework and criteria established in Internal Control  Integrated Framework,
issued by the Committee of Sponsoring Organizations of the Treadway Commission.
Based on this evaluation, our management has concluded that internal control
over financial reporting was effective as of February 29, 2008 to provide
reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements in accordance with GAAP.

AUDIT COMMITTEE

The Companys Board of Directors has established a
separately-designated Audit Committee of the board in accordance with Section
3(a)(58)(A) of the Exchange Act for the purpose of overseeing the Companys
accounting and financial reporting processes and the audits of the Companys
annual financial statements. As at the date of this annual report, the Audit
Committee was comprised of Rene G. Carrier, Douglas Silver and Patrick
Bartlett.

AUDIT COMMITTEE FINANCIAL EXPERT

The Companys Board of Directors has determined that Rene G.
Carrier, a member of the Audit Committee of the board, is an audit committee
financial expert (as that term is defined in Item 407 of Regulation S-K under
the Exchange Act) and is an independent director.

PRINCIPAL ACCOUNTING FEES AND SERVICES

The following table sets forth information regarding amounts
billed by the Companys independent auditors for each of the Companys last two
fiscal periods:

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|                   |   | Nine-month |  |   | Year Ended | 
|------------------ | - | ---------- |  | - | ---------- | 
|                   |   | Ended      |  |   | May 31,    | 
|                   |   | February   |  |   | 2007       | 
|                   |   | 29, 2008   |  |   |            | 
|Audit Fees         | $ | 150,000    |  | $ | 217,400    | 
|Audit Related Fees |   | 130,000    |  |   | Nil        | 
|Tax Fees           |   | 7,500      |  |   | 3,500      | 
|All Other Fees     |   |           |  |   |           | 
|Total              | $ | 287,500    |  | $ | 220,900    | 

Audit Fees

Audit fees are the aggregate fees billed by the Companys
independent auditor for the audit of the Companys annual consolidated financial
statements, reviews of interim consolidated financial statements and attestation
services that are provided in connection with statutory and regulatory filings
or engagements.

Audit-Related Fees

Audit-related fees are fees charged by the Companys
independent auditor for assurance and related services that are reasonably
related to the performance of the audit or review of the Companys financial
statements and are not reported under "Audit Fees." This category comprises fees
billed for employee benefit audits, due diligence assistance, consultations on
proposed transactions, internal control reviews and audit and attestation
services not required under applicable law, rules and regulations.

Tax Fees

Tax fees are fees for professional services rendered by the
Companys independent auditors for tax compliance and tax advice on actual or
contemplated transactions.

All Other Fees

All other fees relate to services other than the audit fees,
audit-related fees and tax fees described above.

Audit Committee Pre-Approval Policies

The Companys management requests approval from the Audit
Committee of the Companys board for non-audit services from the Companys
independent auditors. The Audit Committee pre-approves all audit and all such
services with set maximum dollar limits. In considering these requests, the
Audit Committee assesses, among other things, whether the non-audit services
requested would be considered prohibited services as contemplated by the SEC,
and whether the non-audit services requested and related fees could impair the
independence of the Companys auditors.

OFF-BALANCE SHEET ARRANGEMENTS

The Company has not entered into any off-balance sheet
arrangements that have or are reasonably likely to have a current or future
effect on the Companys financial condition, changes in financial condition,

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revenues, expenses, results of operations, liquidity, capital
expenditures or capital resources that are material to investors.

CONTRACTUAL OBLIGATIONS

Other than disclosed in the notes to the consolidated financial
statements, the Company did not have any material contractual obligations as at
February 29, 2008.

CODE OF ETHICS

The Company has adopted a Code of Ethics that applies to its
officers, employees and directors and promotes, among other things, honest and
ethical conduct. The code also promotes compliance by the Companys Chief
Executive Officer, Chief Financial Officer and other senior finance staff with
the Sarbanes-Oxley Act of 2002. Investors may view the Companys Code of Ethics
on the Companys web site at www.rockwelldiamonds.com.

UNDERTAKING

The Registrant undertakes to make available, in person or by
telephone, representatives to respond to inquiries made by the Commission staff,
and to furnish promptly, when requested to do so by the Commission staff,
information relating to: the securities registered pursuant to Form 40-F; the
securities in relation to which the obligation to file an annual report on Form
40-F arises; or transactions in said securities.

CONSENT TO SERVICE OF PROCESS

The Company previously filed an Appointment of Agent for
Service of Process and Undertaking on Form F-X signed by the Company and its
agent for service of process with respect to the class of securities in relation
to which the obligation to file this annual report arises.

SIGNATURES

Pursuant to the requirements of the Exchange Act, the Company
certifies that it meets all of the requirements for filing on Form 40-F and has
duly caused this annual report to be signed on its behalf by the undersigned,
thereunto duly authorized.

|Date: May 29, 2008. | ROCKWELL DIAMONDS INC.             
|------------------- | -----------------------------------
|                    |                                    
|                    | By:
      /s/ Dominique De la Roche
|                    | Dominique De la Roche              
|                    | Chief Financial Officer            

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EXHIBIT INDEX

|Exhibit |                                                                                                                                                                                                                                                                                                               
|------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Number  | Exhibit Description                                                                                                                                                                                                                                                                                           
|        |                                                                                                                                                                                                                                                                                                               
|99.1    | Certification
        of Chief Executive Officer pursuant to Rule 13a-14(a) of the Exchange
        Act, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002                                                                                                                                 
|        |                                                                                                                                                                                                                                                                                                               
|99.2    | Certification
        of Chief Financial Officer pursuant to Rule 13a-14(a) of the Exchange
        Act, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002                                                                                                                                 
|        |                                                                                                                                                                                                                                                                                                               
|99.3    | Certification
        of Chief Executive Officer pursuant to Rule 13a-14(b) of the Exchange
        Act and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of
        the Sarbanes-Oxley Act of 2002                                                                                              
|        |                                                                                                                                                                                                                                                                                                               
|99.4    | Certification
        of Chief Financial Officer pursuant to Rule 13a-14(b) of the Exchange
        Act and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of
        the Sarbanes-Oxley Act of 2002                                                                                              
|        |                                                                                                                                                                                                                                                                                                               
|99.5    | Annual
        Information Form of the Company for the period ended February 29, 2008                                                                                                                                                                                                                         
|        |                                                                                                                                                                                                                                                                                                               
|99.6    | Audited
        consolidated balance sheets as at February 29, 2008 and May 31, 2007 and
        consolidated statements of operations, equity, and cash flows for the
        periods then ended, including the notes thereto and report of our independent
        registered public accounting firm thereon
|        |                                                                                                                                                                                                                                                                                                               
|99.7    | Managements
        Discussion and Analysis of financial condition and results of operations
        for the period ended February 29, 2008                                                                                                                                                                  
|        |                                                                                                                                                                                                                                                                                                               
|99.8    | HCVW and Rockwell share exchange agreement to acquire an additional 23% of the Van Wyk Diamond Group assets.                                                                                                                                                                                                  
|        |                                                                                                                                                                                                                                                                                                               
|99.9    | Acquisition Agreement between Trans Hex Group Limited and the Company to acquire the Saxendrift Mine.                                                                                                                                                                                                         
|        |                                                                                                                                                                                                                                                                                                               
|99.10   | Consent of Davidson
    & Company LLP                                                                                                                                                                                                                                                                         
|        |                                                                                                                                                                                                                                                                                                               
|99.11   | Consent of Glenn
    Norton, Pr. Sci. Nat                                                                                                                                                                                                                                                                     
|        |                                                                                                                                                                                                                                                                                                               
|99.12   | Consent of Tania
    R. Marshall, PhD., Pr. Sci. Nat                                                                                                                                                                                                                                                          
|        |                                                                                                                                                                                                                                                                                                               
|99.13   | Consent of Catherine
    Telfer B.Sc. Hons (Geol.), Dip. Bus. Man, MSAIMM, MAusIMM, Pr. Sci. Nat                                                                                                                                                                                                              

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