There have been Pokemon having egg moves, and even TM moves in the wild. An example could be given from the episodes,
- Pikachu's Exploration Club
- Pikachu's Ice Adventure
- Pikachu's Big Sparking Search
- Pikachu's Big Mysterious Adventure
... In which a Marill with Sing appears in succession. Marills only get Sing as an egg move, that too only when they hatch as Azurills. There are some more examples as well, as it's shown in the anime that Egg moves can actually be learned through training. The best example of this is Ash's Pikachu, which learnt Volt Tackle as a level up move.
Source: A bit of Internet surfing, and this.
Hope I helped!