Despite our growing understanding of embryonic immune development, rare early megakaryocytes (MKs) remain relatively understudied. Here we used single-cell RNA sequencing of human MKs from embryonic yolk sac (YS) and fetal liver (FL) to characterize the transcriptome, cellular heterogeneity, and developmental trajectories of early megakaryopoiesis. In the YS and FL, we found heterogeneous MK subpopulations with distinct developmental routes and patterns of gene expression that could reflect early functional specialization. Intriguingly, we identified a subpopulation of CD42b+CD14+ MKs in vivo that exhibit high expression of genes associated with immune responses and can also be derived from human embryonic stem cells (hESCs) in vitro. Furthermore, we identified THBS1 as an early marker for MK-biased embryonic endothelial cells. Overall, we provide important insights and invaluable resources for dissection of the molecular and cellular programs underlying early human megakaryopoiesis.