Lung alveolus anatomy, illustration. The pulmonary alveoli are the terminal ends of the respiratory bronchioles, and are where gas exchange takes place with the blood. They are enveloped by capillary blood vessels, some of which are shown here forming the network in the background (capillary bed). The alveolus itself consists of mucous membranes and connective tissue, as well as a very thin epithelial layer of alveolar cells (pneumocytes). Nerves, smooth muscle, and lymph tissue are also present in and around alveoli. Several glandular and secretory cells are shown here. Such cells present in the alveoli include bronchiolar exocrine cells and goblet cells.