Extra-embryonic tissues provide protection and nutrition in vertebrates, as well as a connection to the maternal tissues in mammals. The extra-embryonic mesoderm is an essential and understudied germ layer present in amniotes. It is involved in hematopoiesis, as well as in the formation of extra-embryonic structures such as the amnion, umbilical cord and placenta. The origin and specification of extra-embryonic mesoderm are not entirely conserved across species, and the molecular mechanisms governing its formation and function are not fully understood. This Review begins with an overview of the embryonic origin and function of extra-embryonic mesoderm in vertebrates from in vivo studies. We then compare in vitro models that generate extra-embryonic mesoderm-like cells. Finally, we discuss how insights from studying both embryos and in vitro systems can aid in designing even more advanced stem cell-based embryo models.