An embryo is an animal in the phase after fertilization but before birth or hatching. Embryos still live in the womb or egg.
Do you remember when you were an embryo? Probably not, because you were just a tiny clump of cells in your mother's womb — you weren't born yet. All animals were embryos at one point: it's a very early stage of life. Another meaning is not as literal: the beginning of an idea could be called an embryo, as in, "My plan for ice-skating robots is still in the embryo stage." That means the idea isn't very developed.