Thankyou. It is quite amazing and fully understanding it carries a sense of deep beauty and appreciation for the complexities and interdependencies by which our body sustains life.

re your question:
You have 2 overarching (and this is simplifying slightly) thermodynamic gradients operating in the body:
Catabolism and Anabolism.

Catabolic processes break down polymers (of which everything is composed). For example: in the Carbohydrate family, we have Starches or Glycogen; a polymer of Glucose monomers.
In the Fats family, Triacylglycerides (TAGs) and Fatty acids are 3 and 2 polymer complexes of the standard 'fat' chain. Proteins are polymers of the 20 biological amino acid monomers, which are combined in an infinite variety of combinations and lengths to create the different structures of our body.

We break Fats and Carbs down to their monomers to ingest them into the body (enzymes etc in the Gut). Malabsorption here will result in excess nutrients in our GIT which bacteria can then feast on, causing medical symptoms of maldigestion. Bacteria also operate in a complex synergy with our GIT to keep everything 'regular' however that's far beyond the scope of this discussion, and pushing the limits of the understanding of science even.

Further catabolic processes go on to take fats and carbs down to the burning stage in the mitochondria, which results in the production of ATP, the body's fuel source (you can think of carbs and fats as the crude unrefined elements and then ATP is the refined, useful fuel which every source in the cell which requires energy can utilise)

Production of ATP is in itself a Anabolic process by definition, as it is a more energetic molecule than it's precursors. Note that the production of ATP is coupled to a catabolic process, the burning of carbon in the Krebs Cycle inside the mitochondria.

ATP is the energy source which is then utilised by different proteins in the cell to provide the energy to catalyse the formation of monomers into polymers - this is the process that creates structural proteins, the elongation and duplication of DNA, elements of the Phospholipid Bilayer (the cell membrane - which has 2 fatty acids/fats as the tail) and all the other cellular components.

Note that Anabolism is an energetically expensive process, as you are building molecules which have more energy than the precursors, and so you require a fuel source for this.
this is really what we mean when biologists say that the whole system is driven by thermodynamics.

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TL;DR - We break everything down into it's monomer subunits to get it into our bloodstream. Special transports exist for Amino Acids, Vitamins, Nucleotides, Simple Carbs, Fats etc. Once inside, our protein cellular machinery stores some energy (in Glycogen or Fat), Burns some energy (Energy consumption is coupled to energy expenditure at the mitochondrial level - rate of production of ATP is limited by rate of consumption; O2 is the limiting factor when consumption is high), and uses amino acids and fats, and carbons from Carbohydrates as different structural and functional components in our cell.

So yes, you are right, we don't burn everything to H2O and CO2. But essentially everything that produces the useful energy in our body does go through this process.

I hope this sort-of answers your question even though I got a bit side-tracked