We report the formation of optical waveguides in the self-Raman Nd:YVO(4) laser crystal by femtosecond laser inscription. The confocal fluorescence and Raman images have revealed that the waveguide is constituted by a locally compressed area in which the original fluorescence and Raman gains of the Nd:YVO(4) system are preserved. Thus the obtained structures emerge as promising candidates for highly efficient self-Raman integrated laser sources.