A Bayesian-based methodology is developed to estimate diffusion tensors from molecular dynamics simulations of permeants in anisotropic media, and is applied to oxygen in lipid bilayers. By a separation of variables in the Smoluchowski diffusion equation, the multidimensional diffusion is reduced to coupled one-dimensional diffusion problems that are treated by discretization. The resulting diffusivity profiles characterize the membrane transport dynamics as a function of the position across the membrane, discriminating between diffusion normal and parallel to the membrane. The methodology is first validated with neat water, neat hexadecane, and a hexadecane slab surrounded by water, the latter being a simple model for a lipid membrane. Next, a bilayer consisting of pure 1-palmitoyl 2-oleoylphosphatidylcholine (POPC), and a bilayer mimicking the lipid composition of the inner mitochondrial membrane, including cardiolipin, are investigated. We analyze the detailed time evolution of oxygen molecules, in terms of both normal diffusion through and radial diffusion inside the membrane. Diffusion is fast in the more loosely packed interleaflet region, and anisotropic, with oxygen spreading more rapidly in the membrane plane than normal to it. Visualization of the propagator shows that oxygen enters the membrane rapidly, reaching its thermodynamically favored center in about 1 ns, despite the free energy barrier at the headgroup region. Oxygen transport is quantified by computing the oxygen permeability of the membranes and the average radial diffusivity, which confirm the anisotropy of the diffusion. The position-dependent diffusion constants and free energies are used to construct compartmental models and test assumptions used in estimating permeability, including Overtons rule. In particular, a hexadecane slab surrounded by water is found to be a poor model of oxygen transport in membranes because the relevant energy barriers differ substantially.