Embryonic development in nonmammalian vertebrates depends entirely on nutritional reserves that are predominantly derived from vitellogenin proteins and stored in egg yolk. Mammals have evolved new resources, such as lactation and placentation, to nourish their developing and early offspring. However, the evolutionary timing and molecular events associated with this major phenotypic transition are not known. By means of sensitive comparative genomics analyses and evolutionary simulations, we here show that the three ancestral vitellogenin-encoding genes were progressively lost during mammalian evolution (until around 30–70 million years ago, Mya) in all but the egg-laying monotremes, which have retained a functional vitellogenin gene. Our analyses also provide evidence that the major milk resource genes, caseins, which have similar functional properties as vitellogenins, appeared in the common mammalian ancestor ∼200–310 Mya. Together, our data are compatible with the hypothesis that the emergence of lactation in the common mammalian ancestor and the development of placentation in eutherian and marsupial mammals allowed for the gradual loss of yolk-dependent nourishment during mammalian evolution.