We prove that for every Banach space Y, the Besov spaces of functions from the n-dimensional Euclidean space to Y agree with suitable local approximation spaces with equivalent norms. In addition, we prove that the Sobolev spaces of type q are continuously embedded in the Besov spaces of the same type if and only if Y has martingale cotype q. We interpret this as an extension of earlier results of Xu (J Reine Angew Math 504:195–226, 1998), and Martínez et al. (Adv Math 203(2):430–475, 2006). These two results combined give the characterization that Y admits an equivalent norm with modulus of convexity of power type q if and only if weakly differentiable functions have good local approximations with polynomials.