The lanthanide tetrad effect and Y-Ho fractionation are commonly observed in highly fractionated melts. In pegmatites, they are attributed to liquid immiscibility, although this explanation has recently been debated. Based on the potential relationship between the lanthanide tetrad effect and liquid immiscibility in pegmatite-forming melts, the rare earth element compositions (REEs, including Y) in three types of zircons from the magmatic stage (Zone II), magmatic-hydrothermal transition stage (Zones III and V) and hydrothermal stage (Zone VI) of the Kelumute No. 112 pegmatite, Chinese Altai, were analyzed by laser ablation inductively coupled plasma mass spectrometry (LA-ICP-MS) in this study. The results show that the REEs are sharply fractionated from the magmatic stage to the hydrothermal stage. According to the REE variations in the three types of zircons that formed during different stages and the evidence from inclusions, the intense lanthanide tetrad effect and suprachondritic Y/Ho ratios in zircons from Zones III, V and VI result from selective incorporations of REEs in immiscible fluoride melt, which generated the W-type tetrad effect and subchondritic Y/Ho ratios in the fluoride melt and the complementary M-type tetrad effect and suprachondritic Y/Ho ratios in the coexisting silicate melt and aqueous fluid. The results further reflect that the liquid immiscibility of the silicate melt, fluoride melt and aqueous fluid occurred during the magmatic-hydrothermal transition stage of the pegmatite-forming melt. In addition, for the first time, a negative Ce anomaly was identified in the terrestrial zircon from Zone VI of the No. 112 pegmatite; this anomaly is attributed to the preferential incorporation and/or adsorption of Ce in/by the Fe-Mn oxyhydroxides prior to or during the crystallization of zircon in the hydrothermal stage.