The O₂ and the CO₂ gas exchange occurs in alveoli. the oxygen gas moves from the lungs and at same time carbon dioxide passe the the lungs from the blood and the gas exchange occurs.
The oxygen gas moves from the lungs and at same time carbon dioxide passe the the lungs from the blood and gas exchange between the alveoli and the tiny blood vessels occurs. the tiny blood vessels are called as the capillaries. the capillaries are located at the alveoli walls. every person has the hundred of millions of the alveoli present in their lungs.
Thus, in the alveoli the exchange of the oxygen gas and the carbon dioxide gas will occurs.