Cellular heterogeneity is a property of any living system; however, its relationship with cellular fate decision remains an open question. Recent technological advances have enabled valuable insights, especially in complex systems such as the mouse embryo. In this review, we discuss recent studies that characterize cellular heterogeneity at different levels during mouse development, from the two-cell stage up to gastrulation. In addition to key experimental findings, we review mathematical modeling approaches that help researchers interpret these findings. Disentangling the role of heterogeneity in cell fate decision will likely rely on the refined integration of experiments, large-scale omics data, and mathematical modeling, complemented by the use of synthetic embryos and gastruloids as promising in vitro models. Expected final online publication date for the Annual Review of Genetics, Volume 54 is November 23, 2020. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.