Our fat is stored as triglycerides. When we need it for energy, enzymes in the blood break it down into fatty acid chains and glycerol. The fatty acids are absorbed by cells and broken down into even smaller molecules and ‘fed’ to our mitochondria (the ‘power plants’ of our cells). The ultimate waste products of this complex sequence are just CO2 and water, which we breathe out. So when you exercise, you are turning fat into puffing and panting.