They were in control, ahead 2-0 with less than 30 minutes to play, against the desperate A-League champions, who had picked up only one point from their first five matches.
But the Phoenix lost their way, inviting Western United back into the contest, with substitutes Diamanti and Prijovic particularly influential.
The sense of regret will be accentuated by Kosta Barbarouses’ first-half penalty miss, as well as the soft nature of Western United’s first goal from a set piece.
While the Phoenix have potential, they are still gelling as a squad and need to develop a harder edge, as not for the first time this season they got the wobbles late in the match.
Earlier they were good value for their lead, with Oscar Zawada and Bozhidar Kraev getting on the scoresheet.
The first goal (22nd minute) came after neat work between Clayton Lewis and Kraev, before Zawada finished unerringly inside the near post, after the ball was deflected into his path.
The Polish striker was on the board in this campaign, while it was also the first time the Phoenix had netted inside 30 minutes this season.
They should have gone further ahead in the 39th minute, but Barbarouses’ penalty attempt was well saved. The All Whites winger had been involved in the build-up – with a clever ball to Zawada – but Jamie Young guessed correctly with the spot kick, as Barbarouses tried to place the shot.
The Phoenix couldn’t make the most of their dominance with further opportunities, while the visitors were limited to half chances before the break.
Ben Waine (Zawada) and David Ball (Barbarouses) were introduced early in the second half, while Sail had to be on guard to deny Lachlan Wales.
Kraev extended the Phoenix lead just before the hour, with a slashing angled drive – that took a slight deflection – after a free kick was only half cleared.
But Western United responded immediately, with former Phoenix defender Jacob Tratt nodding home from close range, from a well-worked corner routine.
It was a poor concession, with Talay furious, as a simple flick-on left several defenders out of position.
Diamanti then flashed a volley wide, before Ball blazed over after strong work from Oskar van Hattum.
The Phoenix were hoping to hang on, before Prijovic’s moment, as the Swiss striker rose well at the far post to connect with a looping cross.
If that was a shock, Diamanti’s winner was the stuff of nightmares, as he bent a delicious free kick over the wall, beating Sail at his near post.
It was a brilliant strike, though the All Whites keeper might regret his positioning, as Diamanti took full advantage.
Wellington Phoenix 2 (Oscar Zawada 22, Bozhidar Kraev 59)
Western United 3 (Jacob Tratt 64, Aleksandar Prijovic 84, Alessandro Diamanti 95)