Beta oxidation of fatty acids yields NADH/FADH2 and Acetyl-CoA. The Acetyl-CoA is fed into the electron transport chain to yield ATP. Similarly, glycerol is converted to glyceraldehyde-3-phosphate, which is a component of glycolysis.
This is way beyond the scope of the original question, though. Energy sources are stored in your body until they are needed. Then they are converted into usable forms, and broken down or used to generate high energy molecules or electron transporters like ATP, NADH, etc. The mass lost is due to loss of waste products: water, CO2, and unusable forms or fully broken down molecules with no further use to the body.