Appropriate oxygen supply is crucial for organisms. Here we examine the evolution of structures associated with the delivery of oxygen in the pre- and postnatal phases in mammals. There is an enormous structural and functional variability in the placenta that has facilitated the evolution of specialized reproductive strategies, such as precociality. In particular the cell layers separating fetal and maternal blood differ markedly: a non-invasive epitheliochorial placenta, which increases the diffusion distance, represents a derived state in ungulates. Rodents and their relatives have an invasive haemochorial placental type as optimum for the diffusion distance. In contrast, lung development is highly conserved and differences in the lungs of neonates can be explained by different developmental rates. Monotremes and marsupials have altricial stages with lungs at the early saccular phase, whereas newborn eutherians have lungs at the late saccular or alveolar phase. In conclusion, the evolution of exchange structures in the pre- and postnatal periods does not follow similar principles.