A large variety of microorganisms produce molecules to communicate via complex signaling mechanisms such as quorum sensing and chemotaxis. The biological diversity is enormous, but synthetic inanimate colloidal microswimmers mimic microbiological communication (synthetic chemotaxis) and may be used to explore collective behaviour beyond the one-species limit in simpler setups. In this work we combine particle based and continuum simulations as well as linear stability analyses, and study a physical minimal model of two chemotactic species. We observed a rich phase diagram comprising a "hunting swarm phase", where both species self-segregate and form swarms, pursuing, or hunting each other, and a "core-shell-cluster phase", where one species forms a dense cluster, which is surrounded by a (fluctuating) corona of particles from the other species. Once formed, these clusters can dynamically eject their core such that the clusters almost turn inside out. These results exemplify a physical route to collective behaviours in microorganisms and active colloids, which are so-far known to occur only for comparatively large and complex animals like insects or crustaceans.