Microglia are known to regulate several aspects of the development of the central nervous system. When microglia colonize the spinal cord, from E11.5 in the mouse embryo, they interact with growing central axons of dorsal root ganglion sensory neurons (SNs), which suggests that they may have some functions in SN development. To address this issue, we analyzed the effects of embryonic macrophage ablation on the early development of SNs using mouse embryo lacking embryonic macrophages (PU.1 knock‐out mice) and immune cell ablation. We discovered that, in addition to microglia, embryonic macrophages contact tropomyosin receptor kinase (Trk) C+ SN, TrkB+ SN, and TrkA+ SN peripheral neurites from E11.5. Deprivation of immune cells resulted in an initial reduction of TrkC+ SN and TrkB+ SN populations at E11.5 that was unlikely to be related to an alteration in their developmental cell death (DCD), followed by a transitory increase in their number at E12.5. It also resulted in a reduction of TrkA+ SN number during the developmental period analyzed (E11.5–E15.5), although we did not observe any change in their DCD. Proliferation of cells negative for brain fatty acid‐binding protein (BFABP−), which likely correspond to neuronal progenitors, was increased at E11.5, while their proliferation was decreased at E12.5, which could partly explain the alterations of SN subtype production observed from E11.5. In addition, we observed alterations in the proliferation of glial cell progenitors (BFABP+ cells) in the absence of embryonic macrophages. Our data indicate that embryonic macrophages and microglia ablation alter the development of SNs.