Fat people have a large amount of calories (energy) stored, but I have noticed all time when they do physical activities they get tired fast in comparison to fit people - why does this happen?
Fatigue on exercise is proportional to unmet demand for oxygen and glucose (sugar/fuel).
In people who are "fat":
They typically do less exercise. Therefore their cardiovascular system is not conditioned with the heart being able to cope with increased exercise i.e. it is unable to beat more efficiently and instead must beat A LOT more faster to cope consuming more oxygen and glucose. Even at rest, they will typically have a higher resting rate. They also have less efficient muscles (i.e. the muscles themselves can't breakdown energy as well, use it as well and the body isn't as great at picking the right set of muscles)
The fat itself can compress vessels carrying blood. This pressure increases blood pressure. This is worsened by a typical high diet of salt and again by typical lack of exercise. Higher blood pressure means the heart has to beat harder and faster to pump blood around the body
They weigh more so each movement requires A LOT more energy. Their resting metabolic rate is higher than a thinner person as is any exercise they do.
On exercise they do not lose heat fast enough. This impairs the breakdown of glucose and also more energy is required to lose the excess heat
They may be subclinically diabetic. Their body may have lots of glucose floating around in the blood but they can't use it because their muscles can't absorb it.
They have far increased rates of build up of fatty plaques on the blood vessel walls. This narrows the vessels and only multiplies with all the other problems
Then there's lots of other more minor but very important reasons like psychological (reduced capacity to brave through fatigue), reduced sleep meaning a higher baseline of tiredness (in the extreme side caused by obstructive sleep apnoea), increased rates of smoking (which does millions of things to reduce exercise capacity)
Fat people have a large amount of body cells which need a large supply of oxygen from the blood.Heart beats at some constant rate and it has some upper limit to which it can supply blood. In fat people the same sized heart and same volume of blood needs to be circulated throughout the body and this becomes difficult during exercise or rather cells of the body of a fat person suffers from hypoxia faster than that of a thin person. thus he experiences fatigue faster.
Firstly we must acknowledge there is a difference between being thin and being fit. An unfit thin person will also tire more quickly than a fit person, performance is not always directly related to weight. This is due to the "use it or lose it" nature of fitness.
In addition to the factors mentioned by Deepanjali Dwivedi it is often the case that overweight people are less active and so build up less of the muscle required for the particular task at hand. For example/comparison if you had to use one arm to lift a heavy bag it would be significantly harder than if you were to use both your arms and the muscles in that arm would fatigue more quickly.
The most popular method of getting fat in the first place involves exerting yourself as little as possible. This leads to the muscles and metabolism failing to become conditioned for strenuous activity, ie. remaining very untrained.
Therefore, a person who became fat in this manner is mentally and physically unprepared for intense activity, for the simple reason that they have seldom done it before and their body did not become adapted to it. It is not surprising that they are very bad at it compared to people of moderate fitness.
Thus the correlation between being fat and lacking endurance is not due to causality from the former towards the latter, but due to another factor causing both (also known as a confound). An added factor is that you over-simplify by focusing on calories: In the real world, the sort of diet and lifestyle that results in excessive weight also drastically impairs cardiovascular health, which then in turn impairs performance. However, this goes back to the question of being trained vs. untrained for strenuous activity, since exercise also influences cardiovascular health.
That said, fat is a good thermal insulator and most likely interferes with performance by making it difficult to evacuate heat. I don't think this effect is significant compared to the above reasoning, evidenced by the fact that even in extremely cold weather, a naked fat man will not suddenly become an effective athlete.
A further caveat is that an athlete who became very fit to begin with, could subsequently amass a large amount of fat without losing much muscle. This often does not impair performance all that much (and is a common practice in some bodybuilding circles).