The need for a non-invasive technique to monitor oxygen in vivo, in 3D and in both tissue and vessels, have stimulated more than two decades of research, based on the phosphorescent quenching method. Using two-photon phosphorescence lifetime microscopy (2PLM), we have performed depth-resolved micron-scale measurements of the oxygen partial pressure (Po2) in both the neuropil and the vessels of the rodent olfactory bulb. In capillaries of glomeruli, 2PLM has also allowed simultaneous measurements of Po2 and blood flow, and revealed the presence of erythrocyte-associated transients (EATs), i.e. Po2 fluctuations associated with each individual erythrocyte. We have then investigated the extent to which EAT properties in capillaries could report local neuronal activity. We find that at rest, Po2 at EAT peaks overestimates the mean Po2 by 35 mm Hg. Po2 between two EAT peaks is at equilibrium with, and thus reports, Po2 in the neuropil. During odor stimulation, a small Po2 decrease is detected in capillaries prior to functional hyperaemia, demonstrating that the Po2 initial dip, controversial in the field of fMRI, is present at the level of capillaries. We conclude that imaging oxygen dynamics in capillaries provides a unique and non-invasive approach to finely map brain activity.