The process in which a relatively unspecialized cell acquires the specialized structural and/or functional features of a nephrocyte. A nephrocyte is an insect renal cell that filters hemolymph. Differentiation includes the processes involved in commitment of a cell to a specific fate and its subsequent development to the mature state. [ GOC:dph http://purl.obolibrary.org/obo/CL_0002520 GOC:mtg_kidney_jan10 http://www.ncbi.nlm.nih.gov/pubmed/19783135 ]