Using the first small data set, NA62 improved the exclusion limits for heavy neutral leptons coupled to electrons and muons by an order of magnitude for masses less than the kaon mass (200 - 495 MeV); this study is similar to that done by PIENU in a lower mass region. As reported in Physical Letters B (2018), so far only three neutrinos have been found, corresponding to the three electron-type particles. The tiny values of the neutrino masses have stimulated theoretical speculation that additional heavy neutral leptons may exist which, if verified, could have important consequences for the origin and composition of the universe; however, the mass range for those new particles is relatively unconstrained. NA62 could directly observe heavy neutral leptons coupled to electrons and muons such as sterile neutrinos in the 2-body decays of kaons K+→e+νh and K+→µ+νh (where νh is a massive neutrino) by observing an extra peak in the positron or muon energy spectrum. After suppressing backgrounds by several orders of magnitude, the search came up empty, allowing new order of magnitude more sensitive limits to be obtained. NA62 expects to continue improving these results with more data.