Preheat your oven to 350°F (175°C). Spread the sliced almonds on a baking sheet in a single layer. Toast them for about 8-10 minutes, or until they are golden brown and fragrant. Keep an eye on them to avoid burning!
In a mixing bowl, combine the cream cheese and mascarpone cheese. Using an electric mixer or whisk, beat the cheeses together until smooth and creamy.
Gradually add the freshly grated Parmesan cheese to the cream cheese mixture. Continue to mix until everything is well combined and creamy.
Add the toasted almonds, black pepper, nutmeg, and a pinch of salt to the cheese mixture. Gently fold the ingredients together using a spatula until evenly distributed.
Transfer the dip to a serving bowl. For best results, let it chill in the refrigerator for at least 30 minutes to allow the flavors to meld. Serve with your choice of crackers, vegetable sticks, or toasted bread slices.