Closed circulatory systems underlie the function of vertebrate organs, but in long bones their structure is unclear although they constitute the exit route for bone marrow (BM) leukocytes. To understand neutrophil migration from BM, we studied the vascular system of murine long bones. Here, in a mouse model, we show that hundreds of capillaries originate in BM, traverse cortical bone perpendicularly along the shaft and connect to the periosteal circulation. Structures similar to these trans-cortical vessels (TCVs) also exist in human limb bones. TCVs express arterial or venous markers and transport neutrophils. Furthermore, over 80% of arterial and 59% of venous blood passes through TCVs. Genetic and drug-mediated modulation of osteoclast count and activity leads to substantial changes in TCV numbers. In a murine model of chronic arthritic bone inflammation, new TCVs develop within weeks. Our data indicate that TCVs are a central component of the closed circulatory system in long bones and may represent an important route for immune cell export from BM.