In this Letter, a new, to the best of our knowledge, external cavity structure based on double wavelength division multiplexing external cavities is proposed and demonstrated. The electro-optical conversion efficiency is improved and the brightness of the spectral beam combining diode lasers is enhanced. One wavelength division multiplexing external cavity is placed on the rear-side of the laser emitters to provide the strong optical feedback for wavelength locking and the other wavelength division multiplexing external cavity is placed on the front-side of laser emitters to combine three emitter beams to one beam. A maximum output power of up to 7.5 W is obtained and the brightness of the laser diode is 100 MW cm-2 sr-1 with an electro-optical conversion efficiency of 46.5%. Compared with a standard cavity for spectral beam combining, the use of double wavelength division multiplexing external cavities results in an electro-optical conversion efficiency improvement of 6.5%. The whole structure provides a new technology to achieve high-brightness and high electro-optical conversion efficiency for a laser diode source.