Preheat oven to 350°F. Lightly grease 13 X 9-inch pan.
Combine cake mix, 1 egg, and 1 stick melted butter, and stir until well blended. Pat mixture into prepared pan and set aside.
Beat cream cheese until smooth. Add remaining 2 eggs, and cocoa. Lower speed of mixer, and add powdered sugar. Continue beating until ingredients are well mixed. Slowly add remaining 1 stick of melted butter and vanilla, continuing to beat until smooth. Stir in nuts.
Spread filling over cake mixture in pan. Bake 40 to 50 minutes.
Be careful not to overcook cake; the center should still be a little gooey when finished baking. Let cake partially cool on a wire rack before cutting into pieces.