As you breathe in, air passes down your trachea and then into the bronchi and bronchioles. The bronchioles divide further into even narrower branches which end in small air filled sacks called alveoli. The alveoli is where gas exchange occurs.
70% of the outside surface of alveoli are covered in capillaries, which provides a large surface area for gas exchange. The walls of both the capillaries and alveoli are very thin, again making it very easy for oxygen to pass from the alveoli into the capillaries.
Inside the alveoli there is a large concentration of oxygen compared to the pulmonary capillaries. This creates a large concentration gradient, increasing the rate of diffusion of oxygen into the capillaries.