The PDF linked below is an image produced for a book I edited, on disorders of sex development. (My very talented artist-brother did it for me. He’s so talented he can even make boring line drawings on request.)
This image shows how all fetuses start off with the same basic parts (shown at the top). Then males typically follow the development shown on the left side, and females typically follow the types shown on the right.
Sometimes the sex organs develop sort of in-between the male-typical and the female typical. (That’s why these types have sometimes been called “intersex.”) To see some of the ways genital development can vary, go here.
Note that you cannot be born “with both sets of genitals.” I forbid it! No, seriously, you can’t. It’s just not possible. Read about that here.