The embryonic origin of pericytes is heterogeneous, both between and within organs. While pericytes of coelomic organs were proposed to differentiate from the mesothelium, a single-layer squamous epithelium, the embryonic origin of pancreatic pericytes has yet to be reported. Here, we show that adult pancreatic pericytes originate from the embryonic pancreatic mesenchyme. Our analysis indicates that pericytes of the adult mouse pancreas originate from cells expressing the transcription factor Nkx3.2. In the embryonic pancreas, Nkx3.2-expressing cells constitute the multilayered mesenchyme, which surrounds the pancreatic epithelium and supports multiple events in its development. Thus, we traced the fate of the pancreatic mesenchyme. Our analysis reveals that pancreatic mesenchymal cells acquire various pericyte characteristics, including gene expression, typical morphology, and periendothelial location, during embryogenesis. Importantly, we show that the vast majority of pancreatic mesenchymal cells differentiate into pericytes already at embryonic day 13.5 and progressively acquires a more mature pericyte phenotype during later stages of pancreas organogenesis. Thus, our study indicates the embryonic pancreatic mesenchyme as the primary origin to adult pancreatic pericytes. As pericytes of other coelomic organs were suggested to differentiate from the mesothelium, our findings point to a distinct origin of these cells in the pancreas. Thus, our study proposes a complex ontogeny of pericytes of coelomic organs.