The embryo is the one that penetrates the endometrium during implantation. Once fertilization occurs, we are no longer talking about egg, but zygote. Once the zygote is formed, it is divided to give rise to what we call embryo. From the 8th week of pregnancy, the embryo is called fetus.
For more information about the differences, refer to the following article: What is the difference between zygote, embryo and fetus?
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