The self-organisation of a fertilised egg to form a blastocyst structure, which consists of three distinct cell lineages (trophoblast, epiblast and hypoblast) arranged around an off-centre cavity, is unique to mammals. While the starting point (the zygote) and endpoint (the blastocyst) are similar in all mammals, the intervening events have diverged. This review examines and compares the descriptive and functional data surrounding embryonic gene activation, symmetry-breaking, first and second lineage establishment, and fate commitment in a wide range of mammalian orders. The exquisite detail known from mouse embryogenesis, embryonic stem cell studies and the wealth of recent single cell transcriptomic experiments are used to highlight the building principles underlying early mammalian embryonic development.