The cerebral circulation is highly specialized, both structurally and functionally, and it provides a fine-tuned supply of oxygen and nutrients to active regions of the brain. Our understanding of blood flow regulation by cerebral arterioles has evolved rapidly. Recent work has opened new avenues in microvascular research; for example, it has been demonstrated that contractile pericytes found on capillary walls induce capillary diameter changes in response to neurotransmitters, suggesting that pericytes could have a role in neurovascular coupling. This concept is at odds with traditional models of brain blood flow regulation, which assume that only arterioles control cerebral blood flow. The investigation of mechanisms underlying neurovascular coupling at the capillary level requires a range of approaches, which involve unique technical challenges. Here we provide detailed protocols for the successful physiological and immunohistochemical study of pericytes and capillaries in brain slices and isolated retinae, allowing investigators to probe the role of capillaries in neurovascular coupling. This protocol can be completed within 6–8 h; however, immunohistochemical experiments may take 3–6 d.