Study of the chemical composition of clinopyroxene and garnet megacrysts from the Dak Nong sapphire deposit and model calculations have shown that megacrysts originated from the crystallization of alkali basaltoid magma in a deep-seated intermediate chamber at 14–15 kbar, which is close to the Moho depth (50 km) in this part of southeastern Asia. The chamber was a source of heat and CO2 fluids for the generation of crustal syenitic melts producing sapphires and zircons. The formation conditions of sapphires and zircons are significantly different. The presence of jadeite inclusions in placer zircons points to high pressures during their crystallization, which is confirmed by the ubiquitous decrepitation of CO2-rich melt inclusions. Sapphires crystallized from iron-rich syenitic melt in the shallower Earth’s crust horizons with the participation of CO2 and carbonate–H2O–CO2 fluids. The subsequent eruptions of alkali basalts favored the transportation of garnet and pyroxene megacrysts as well as sapphire and zircon xenocrysts to the surface. It is shown that sapphire deposits can be produced only during multistage basaltic volcanism with deep-seated intermediate chambers in the regions with thick continental crust. The widespread megacryst mineral assemblage (clinopyroxene, garnet, sanidine, ilmenite) and the presence of placer zircon megacrysts can be used as indicators for sapphire prospecting.