Cytomegalic adrenal hypoplasia congenita (AHC) is an X-linked disease caused by mutations in DAX1-encoding gene NR0B1, previously thought to function primarily in steroidogenesis. We sought to determine the expression pattern for Dax1 along with known network partners in early embryogenesis and to determine a steroidogenic capacity for the embryo prior to the establishment of the urogenital ridge at embryonic day 9 (E9). Here, we report that murine Dax1 is a unique marker in early embryonic development, distinguishing the extraembryonic (proximal) endoderm from the remainder of the developing embryo. We showed that Wilms tumor 1, steroidogenic factor 1, and estrogen receptor beta were expressed throughout the embryo, but the progesterone, estrogen alpha and androgen receptors, cytochrome P450 (Cyp11a1) and Nur77 were not observed in any of the embryonic layers. Lack of Cyp11A1 expression at this stage confirmed an absence of inherent steroidogenic capacity for the early embryo. The role of Nr0b1 in embryonic stem (ES) cells was investigated using siRNA knockdown, resulting in differentiation toward endoderm-like fate. Nr0b1 conditional knockout in ES cells led to differentiation, confirming our knockdown results. Our investigations suggest that Nr0b1 functions in a novel role in the maintenance of a relatively undifferentiated state. Our results further suggest that the failure of conventional murine Nr0b1 knockout attempts may be due to disregulated differentiation.