The origin of mast cells is still unclear. Because of their resemblance to basophilic leukocytes, which really do originate in the bone marrow, it is supposed that mast cells have a similar origin. By week 20 of gestation, mast cells are identifiable on the basis of their characteristic granules in the regions around the dermal capillaries. There is no evidence that they are functional at this point in development.
The dogma preached in most textbooks is that pericytes do not appear in the dermis until week 20 of gestation. However, if you go to the section on blood vessels and look at the images there, you will find a pretty convincing pericyte in one of the images.
Macrophages arise from the bone marrow. The mechanism by which they are attracted to the skin and their function there is not known.