metabolism preference by the body
None of them can be directly use for energy. We all talk about aerobic oxidation, which is the major process for metabolism.

They all need to go into the tricarboxylic acid cycle (TCA cycle) and oxidation phosphorylation to produce ATP, which is the energy used in organism.

For glucose, they can break down into two pyruvate and enter the TCA cycle. That is the fastest pathway organism use to produce energy.

For fat, since they have long carbon skeleton chain, they cut off 2 carbon compounds from the fatty acid every time. And under a series of process, it become pyruvate and go into the TCA cycle. So it really takes long time and complicated pathway to oxidate the whole fatty acid molecules.

For protein, it is much more complicated. Since protein is not energy store form, it need to become a energy store form first. First it need to be degraded into amino acid, and different amino acids takes different procedure to go into the TCA cycle. Here is the picture I found on the book  by John L. Tymoczko, Jeremy M. Berg and Lubert Stryer.



In sum, glucose is the fastest energy form that body can use to take metabolism, oxidate fatty acid or proteins take much more complicated pathway.