Where does carbon dioxide and oxygen exchange take place?

In your lungs, or more specifically in your alveoli, which are little air sacs inside of your lungs

The exchange takes place in the millions of alveoli in the lungs and the capillaries that envelop them. As shown below, inhaled oxygen moves from the alveoli to the blood in the capillaries, and carbon dioxide moves from the blood in the capillaries to the air in the alveoli.