The speaker is confessing something to a person they have already let get close. "I should have warned you in the beginning" sounds like an apology, as if the speaker knows they've disappointed someone and feels guilty about it. The warning arrives too late, which adds to the regret.
The central image is the matryoshka, the Russian nesting doll. Normally you open one doll and find another, and the pleasure is in the discovery. Here the speaker flips that idea. Each layer they show is only a "hollow shell," and the search for something real inside ends in "nothing." The speaker seems to believe that getting to know them is pointless, because there is no core to find.
The mood is bleak, quiet, and self-critical. The short lines and the abrupt final word make the feeling land flatly, like a door closing. It may be honesty, or it may be a harsh, defeated view of themselves.