The balance of normal and radial (lateral) diffusion of oxygen in phospholipid membranes is critical for biological function. Based on the Smoluchowski equation for the inhomogeneous solubility-diffusion model, Bayesian analysis (BA) can be applied to molecular dynamics trajectories of oxygen to extract the free energy and the normal and radial diffusion profiles. This paper derives a theoretical formalism to convert these profiles into characteristic times and lengths associated with entering, escaping, or completely crossing the membrane. The formalism computes mean first passage times and holds for any process described by rate equations between discrete states. BA of simulations of eight model membranes with varying lipid composition and temperature indicate that oxygen travels 3 to 5 times further in the radial than in the normal direction when crossing the membrane in a time of 15 to 32 ns, thereby confirming the anisotropy of passive oxygen transport in membranes. Moreover, the preceding times and distances estimated from the BA are compared to the aggregate of 280 membrane exits explicitly observed in the trajectories. BA predictions for the distances of oxygen radial diffusion within the membrane are statistically indistinguishable from the corresponding simulation values, yet BA oxygen exit times from the membrane interior are approximately 20% shorter than the simulation values, averaged over seven systems. The comparison supports the BA approach and, therefore, the applicability of the Smoluchowski equation to membrane diffusion. Given the shorter trajectories required for the BA, these results validate the BA as a computationally attractive alternative to direct observation of exits when estimating characteristic times and radial distances. The effect of collective membrane undulations on the BA is also discussed.