The Shulhan Aruch (Orah Haim 458; listen to audio recording for precise citation) records the custom to bake Masot for the Seder specifically on the afternoon of Ereb Pesah. He uses the word "Nohagin," which indicates that this is customary, but not obligatory. As far as the strict Halacha is concerned, one may fulfill his obligation of Masa at the Seder with Masa that was baked even several months before Pesah. Nevertheless, there is a custom that some people follow to bake the Masot for the Seder specifically on the afternoon of Ereb Pesah.
The basis for this custom is a pair of verses in the Book of Debarim (16:2-3) which juxtapose the obligation of the Korban Pesah (paschal offering) and the obligation to eat Masa on Pesah night. This juxtaposition perhaps suggests a certain parallel between the two Misvot. Hence, just as the Korban Pesah is offered on the afternoon of Ereb Pesah, similarly, it would be proper to bake Masot for the Seder during this period.
Already the Mishna Berura (commentary by Rav Yisrael Meir Kagan, 1839-1933) noted that this custom is not observed by many people; indeed, most of us purchase Masot from factories that bake the Masa well in advance of Pesah. The Mishna Berura suggests a possible Halachic reason for why this custom is not observed. On Pesah, if even a tiny morsel of Hametz mixes with food, the food becomes forbidden. We do not employ the standard rules of Bittul (the "nullification" of forbidden food by a majority of permissible food) when Hametz mixes with food on Pesah. Before Pesah, however, there is greater room for leniency in this regard. According to some opinions, the afternoon of Ereb Pesah has the same status as Pesah itself with respect to Bittul; already during this period, we do not apply the rules of "Bittul." Quite possibly, then, people preferred not to bake Masot on the afternoon of Ereb Pesah because if a mistake is made during these hours, and even a slight amount of dough becomes Hametz, all the Masa becomes forbidden. People therefore preferred preparing Masot before Ereb Pesah, when "Bittul" may be relied upon should a mishap occur.
In light of the Mishna Berura’s comments, people who follow the custom to bake Masot on Ereb Pesah are urged to do so under the strict supervision of capable of Mashgihim (Kashrut supervisors), to ensure the Halachic propriety of the baking process.
The Kaf Ha’haim (Rav Yaakov Haim Sofer, Baghdad- Israel, 1870-1939), in Siman 458, writes that it is customary on Ereb Pesah to recite Minha early in the afternoon. The daily Minha prayer corresponds to the afternoon Tamid offering brought each day in the Bet Ha’mikdash. On Ereb Pesah, the Tamid offering was brought before the Korban Pesah, and we should therefore recite Minha early in the afternoon, and then recite special verses and prayers commemorating the Korban Pesah. In this way, we arrange our prayers in the same sequence that was followed for the offering of sacrifices in the time of the Bet Hamikdash.
Summary: There is a custom to bake Masot for the Seder specifically in the afternoon of Ereb Pesah, though this is not required according to strict Halacha. It is preferable to recite Minha early in the afternoon on Ereb Pesah, and then recite the special prayers and verses commemorating the Korban Pesah (paschal offering).
