The baby girl, who was born in Hong Kong's Queen Elizabeth Hospital, had to undergo surgery at just three weeks old to remove the foetuses.
The twins, which were around 8 to 10 weeks gestated, had legs, arms, a spine, rib cage, and intestines.
"The embryo inside the baby was too small"
Both were covered in skin, and each had an umbilical cord.
Dr Yu Kai-man, speaking in the Hong Kong Medical Journal, said: "It was almost impossible to detect during the prenatal check-up, as the embryo inside the baby was too small.
"Since it is impossible for the little girl to have conceived the pregnancy on her own, the fertilisation of the twin foetuses, of course, belongs to her parents, which has gone to the wrong place."
Thankfully the surgery proved to be a success, and the twin foetuses were removed without causing any harm to the baby girl.
Just eight days later, she was able to return home with her parents.
The condition, known as foetus in foetu, is very rare, occurring in just one of 500,000 births.
Less than 200 cases have ever been reported.
The cause of the condition is still unknown, although some doctors have suggested it could be due to the baby's mother having multiple abortions.