According to the Oklahoman's Erik Horne, Diallo went up for a rebound and then landed awkwardly on his left leg.
Shams Charania of The Athletic and Stadium reported Diallo suffered a left ankle sprain.
Before exiting the game, Diallo had three points, six rebounds and two assists in 17 minutes on the floor.
The Thunder are already short-handed, with Andre Roberson recovering from a second surgery on his left knee. The team also confirmed Terrance Ferguson suffered a left ankle sprain against the Warriors on Wednesday.
Diallo entered the game averaging 6.5 points and 2.5 rebounds in 15 appearances.
He has been somewhat limited offensively, shooting 49.4 percent from the field but 30.8 percent from three-point range. His impact on the defensive end, though, is impossible to ignore. According to NBA.com, Diallo is holding opponents to 28.6 percent shooting on three-pointers and 29.4 percent on shots from beyond 15 feet.
The Thunder rank second in defensive rating (103.2), per NBA.com, which is impressive given Roberson's absence, and Diallo is one reason for the team's success on that end of the floor.
Oklahoma City already had an uphill climb to catch up to the two-time defending champion Golden State Warriors. While Diallo isn't one of the most important players on the team, his injury puts further strain on the squad's depth.