Mural cells of the vessel wall, namely pericytes and vascular smooth muscle cells, are essential for vascular integrity. The developmental sources of these cells and molecular mechanisms controlling their progenitors in the heart are only partially understood. Here we show that endocardial endothelial cells are progenitors of pericytes and vascular smooth muscle cells in the murine embryonic heart. Endocardial cells undergo endothelial-mesenchymal transition and convert into primitive mesenchymal progenitors expressing the platelet-derived growth factor receptors, PDGFRα and PDGFRβ. These progenitors migrate into the myocardium, differentiate and assemble the wall of coronary vessels, which requires canonical Wnt signalling involving Frizzled4, β-catenin and endothelial cell-derived Wnt ligands. Our findings identify a novel and unexpected population of progenitors for coronary mural cells with potential relevance for heart function and disease conditions.