A fertilized egg is called a zygote.
It is formed when the sperm meets the egg. A zygote is single diploid cell that is formed when two haploid cells merge, in this case the haploid cells are the sperm cell and the egg or ovum.
The zygote starts to divide and when this division commences, the zygote becomes and embryo. An embryo is only applicable in eukaryotes or organisms that are multicellular.
An embryo is basically an organism which is at the early stage of development and which is unable to survive on its own.