Hemoglobin is the protein which carries oxygen by binding to it. Hemoglobin is found in red blood cells. This protein is extremely important as it allows respiration to be carried out, and transports oxygen to the rest of our bodies.
Oxygen diffuses from the alveoli (in our lungs) through capillaries into the blood. From there, the hemoglobin in the blood will take the oxygen, and bring it to the other parts of the body which need it. This also allows continued diffusion into the capillaries.
