The current epidemic of obesity and overweight has caused a surge of interest in the study of adipose tissue formation. Much progress has been made in defining the transcriptional networks controlling the terminal differentiation of adipocyte progenitors into mature adipocytes. However, the early steps of adipocyte development and the embryonic origin of this lineage have been largely disregarded until recently. In mammals, two functionally different types of adipose tissues coexist, which are both involved in energy balance but assume opposite functions. White adipose tissue (WAT) stores energy, while brown adipose tissue (BAT) is specialized in energy expenditure. WAT and BAT can be found as several depots located in various sites of the body. Individual fat depots exhibit different timing of appearance during development, as well as distinct functional properties, suggesting possible differences in their developmental origin. This hypothesis has recently been revisited through large-scale genomics studies and in vivo lineage tracing approaches, which are reviewed in this report. These studies have provided novel fundamental insights into adipocyte biology, pointing out distinct developmental origins for WAT and BAT, as well as for individual WAT depots. They suggest that the adipose tissue is composed of distinct mini-organs, exhibiting developmental and functional differences, as well as variable contribution to obesity-related metabolic diseases.