Gas exchange of oxygen and carbon dioxide takes place in the alveoli. Oxygen from the inhaled air diffuses through the walls of the alveoli and adjacent capillaries into the red blood cells. The oxygen is then carried by the blood to the body tissues.
Alveoli have a lot of tiny blood vessels called capillaries. The gases move by diffusion from where they have a high concentration to where they have a low concentration: Oxygen diffuses from the air in the alveoli into the blood. Carbon dioxide diffuses from the blood into the air in the alveoli.