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Mass segregation is seen in many star clusters, but whether massive stars form in the center of a cluster or migrate there dynamically is still debated. N-body simulations have shown that early dynamical mass segregation is possible when sub-clusters merge to form a dense core with a small crossing time. However, the effect of gas dynamics on both the formation and dynamics of the stars could inhibit the formation of the dense core. We aim to study the dynamical mass segregation of star cluster models that include gas dynamics and self-consistently form stars from the dense substructure in the gas. Our models use the Torch framework, which is based on AMUSE and includes stellar and magnetized gas dynamics, as well as stellar evolution and feedback from radiation, stellar winds, and supernovae. Our models consist of three star clusters forming from initial turbulent spherical clouds of mass $10^{4,5,6}\rm~M_\odot$ and radius $11.7\rm~pc$ that have final stellar masses of $3.6\times10^3\rm~M_\odot$, $6.5\times10^4\rm~M_\odot$, and $8.9\times10^5\rm~M_\odot$, respectively. There is no primordial mass segregation in the model by construction. All three clusters become dynamically mass segregated at early times via collapse confirming that this mechanism occurs within sub-clusters forming directly out of the dense substructure in the gas. The dynamics of the embedded gas and stellar feedback do not inhibit the collapse of the cluster. We find that each model cluster becomes mass segregated within $2~$Myr of the onset of star formation, reaching the levels observed in young clusters in the Milky Way. However, we note that the exact values are highly time-variable during these early phases of evolution. Massive stars that segregate to the center during core collapse are likely to be dynamically ejected, a process that can decrease the overall level of mass segregation again., Comment: Submitted to A&A. 8 pages, 4 figures