Functional gene embeddings, numerical vectors capturing gene function, provide a promising way to integrate functional gene information into machine learning models. These embeddings are learnt by applying self-supervised machine-learning algorithms on various data types including quantitative omics measurements, protein–protein interaction networks and literature. However, downstream evaluations comparing alternative data modalities used to construct functional gene embeddings have been lacking. Here we benchmarked functional gene embeddings obtained from various data modalities for predicting disease-gene lists, cancer drivers, phenotype–gene associations and scores from genome-wide association studies. Off-the-shelf predictors trained on precomputed embeddings matched or outperformed dedicated state-of-the-art predictors, demonstrating their high utility. Embeddings based on literature and protein–protein interactions inferred from low-throughput experiments outperformed embeddings derived from genome-wide experimental data (transcriptomics, deletion screens and protein sequence) when predicting curated gene lists. In contrast, they did not perform better when predicting genome-wide association signals and were biased towards highly-studied genes. These results indicate that embeddings derived from literature and low-throughput experiments appear favourable in many existing benchmarks because they are biased towards well-studied genes and should therefore be considered with caution. Altogether, our study and precomputed embeddings will facilitate the development of machine-learning models in genetics and related fields.