Diffusion MRI (dMRI) is a unique tool for the study of brain circuitry, as it allows us to image both the macroscopic trajectories and the microstructural properties of axon bundles in vivo. The Human Connectome Project ushered in an era of impressive advances in dMRI acquisition and analysis. As a result of these efforts, the quality of dMRI data that could be acquired in vivo improved substantially, and large collections of such data became widely available. Despite this progress, the main limitation of dMRI remains: it does not image axons directly, but only provides indirect measurements based on the diffusion of water molecules. Thus, it must be validated by methods that allow direct visualization of axons but that can only be performed in post mortem brain tissue. In this review, we discuss methods for validating the various features of connectional anatomy that are extracted from dMRI, both at the macro-scale (trajectories of axon bundles), and at micro-scale (axonal orientations and other microstructural properties). We present a range of validation tools, including anatomic tracer studies, Klingler's dissection, myelin stains, label-free optical imaging techniques, and others. We provide an overview of the basic principles of each technique, its limitations, and what it has taught us so far about the accuracy of different dMRI acquisition and analysis approaches.