The hypothalamo-neurohypophyseal system (HNS) is the neurovascular structure through which the hypothalamic neuropeptides oxytocin and arginine-vasopressin exit the brain into the bloodstream, where they go on to affect peripheral physiology. Here, we investigate the molecular cues that regulate the neurovascular contact between hypothalamic axons and neurohypophyseal capillaries of the zebrafish. We developed a transgenic system in which both hypothalamic axons and neurohypophyseal vasculature can be analyzed in vivo. We identified the cellular organization of the zebrafish HNS as well as the dynamic processes that contribute to formation of the HNS neurovascular interface. We show that formation of this interface is regulated during development by local release of oxytocin, which affects endothelial morphogenesis. This cell communication process is essential for the establishment of a tight axovasal interface between the neurons and blood vessels of the HNS. We present a unique example of axons affecting endothelial morphogenesis through secretion of a neuropeptide.