In a recent paper, published on PNAS, Oliver W. Griffith and colleagues investigated the mechanisms from which embryo implantation evolved.
According to this study, it is highly plausible that implantation in eutherians – three different species were used as model, rabbit, armadillo and tenrec (a hedgehog-like small mammal, represented in the picture above) – evolved from an ancestral inflammatory response to a foreign body (not surprisingly, during the initial steps, as the early embryo makes his way throughout the uterine epithelium and stroma, it basically invades and destroys tissues). This mechanism might have been modified over time to allow pregnancy, as suggested by the fact that pro-inflammatory cytokines (quite interestingly, IL-17, among others) are downregulated in order to avoid immune-mediated damage to the growing fetus.