This is something that always confused me; I was in my 40s before I had an understanding I was happy with. My understanding of biology isn’t very good, so you can get better details from the other answers. But my simple version may help with the basics.
One thing to remember is that cells vary a lot in size. The cells that form the capillary walls are much, much smaller than most other cells. That may help your mental imagery.
Another thing to remember is that there’s fluid that’s outside and between your cells. Your blood’s plasma is one example; there’s cells flowing in it, but it’s mostly just a fluid. Most parts of the body (like muscles) have cells that are more connected, but there’s still gaps with fluid in them. You can think of it kinda like wet sand; the sand takes up the bulk, but there’s plenty of water in there too, in the gaps between sand crystals.
As many others have said, blood cells don’t need to touch other cells to transfer their cargo. If blood cells are carrying lots of oxygen and there’s not much oxygen in the fluid nearby, then they release oxygen into the fluid. Similarly, if there’s lots of carbon dioxide in the nearby fluid and the blood cell doesn’t have much, then it’ll absorb some.
Many capillaries are porous; they have tiny holes between the cells that are large enough to allow small molecules, like oxygen, to pass.
For large molecules that need to be transported, they do a complicated dance where they get taken into the capillary cells and transported through it. (Molecules that do this have special structures or attachments to tell the capillary to move it through.) This also happens for anything in the brain (which has extra protection), and for anything that needs more complicated handling than simple diffusion (such as ions).
I hope this helps!
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