Microglia are the resident immune cells of the central nervous system. Microglial progenitors are generated in the yolk sac during the early embryonic stage. Once microglia enter the brain primordium, these cells colonize the structure through migration and proliferation during brain development. Microglia account for a minor population among the total cells that constitute the developing cortex, but they can associate with many surrounding neural lineage cells by extending their filopodia and through their broad migration capacity. Of note, microglia change their distribution in a stage-dependent manner in the developing brain: microglia are homogenously distributed in the pallium in the early and late embryonic stages, whereas these cells are transiently absent from the cortical plate (CP) from embryonic day (E) 15 to E16 and colonize the ventricular zone (VZ), subventricular zone (SVZ), and intermediate zone (IZ). Previous studies have reported that microglia positioned in the VZ/SVZ/IZ play multiple roles in neural lineage cells, such as regulating neurogenesis, cell survival and neuronal circuit formation. In addition to microglial functions in the zones in which microglia are replenished, these cells indirectly contribute to the proper maturation of post-migratory neurons by exiting the CP during the mid-embryonic stage. Overall, microglial time-dependent distributional changes are necessary to provide particular functions that are required in specific regions. This review summarizes recent advances in the understanding of microglial colonization and multifaceted functions in the developing brain, especially focusing on the embryonic stage, and discuss the molecular mechanisms underlying microglial behaviors.