Both of those are blood vessels. The definition is that an artery carries blood away from the heart (to other organs), and a vein carries blood to the heart (from other organs). This definition is chosen because the walls of an artery need to be thicker than the walls in a vein, because of the pressure from the heart pumping blood.

Most arteries are carrying blood with oxygen and most veins are carrying blood without oxygen, but the opposite is true for the arteries and veins going to and from the lungs (the pulmonary arteries/veins) - those arteries carry blood without oxygen and the veins carry blood with oxygen.