In this paper, we investigate sufficient conditions on the structure of the eigenspaces of a given finite family of matrices to assure the existence of an embedded pair of invariant multicones, which are the smallest and the biggest in a suitable and natural sense. Multicones, very similar structures to those known in the literature as 1-multicones, are quite natural generalizations of the classical cones. The conditions we find also suggest us a practical computational procedure for the actual construction of such invariant embedded pair.