There are different blood vessels with different functions:
Arteries
Carry blood away from the heart
All arteries carry oxygenated blood except for the pulmonary artery
Veins
Carry blood back to the blood.
All veins carry deoxygenated blood except for the pulmonary vein.
Blood Capillaries
Carry blood from an arteriole(small artery) to a venule (small vein).
In capillaries, the blood is slowed down, giving more time for the exchange of substances like nutrients, oxygen, carbon dioxide, waste material, water, etc between the blood and the surrounding tissues.