In the high-energy quantum-physics literature, one finds statements such as "matrix algebras converge to the sphere". Earlier I provided a general precise setting for understanding such statements, in which the matrix algebras are viewed as quantum metric spaces, and convergence is with respect to a quantum Gromov-Hausdorff-type distance.But physicists want even more to treat structures on spheres (and other spaces), such as vector bundles, Yang-Mills functionals, Dirac operators, etc., and they want to approximate these by corresponding structures on matrix algebras. In the present paper we treat this idea for vector bundles. We develop a general precise way for understanding how, for two compact quantum metric spaces that are close together, to a given vector bundle on one of them there can correspond in a natural way a unique vector bundle on the other. We then show explicitly how this works for the case of matrix algebras converging to the 2-sphere.