The process is called osmosis. There is a thin membrane that separates the air in your lungs from the blood in your lungs. The blood has a high concentration of carbon dioxide and a low concentration of oxygen. Any volume of fluid (liquid or gas) wants to equalize, so the carbon dioxide naturally tries to reach the low concentration air while the oxygen tries to reach the low concentration blood. The fun part is your body doesn’t actually know if it has enough oxygen, it only knows how much carbon ioxide it has. So in for example low oxygen, high nitrogen air you can suffocate without noticing since the carbon dioxide is still leaving your body.

To emphasize the interesting bit: Carbon dioxide buildup is what gives the urge to breathe. This is partially what makes carbon monoxide so dangerous.

Oxygen is converted to carbon dioxide in the cells, which essential burn (oxidize) glucose or fat (a bunch of carbon) for fuel. Fat plus the oxygen you breathe becomes carbon dioxide and water. That's why aerobic exercise make you thinner (you burn your carbon sources and exhale the weight)

https://en.wikipedia.org/wiki/Respiration_(physiology)

Glycolosis and the Kreb's cycle.
The main difference between glycolysis and Krebs cycle is: Glycolysis is the first step involved in the process of respiration and occurs in the cytoplasm of the cell. While Krebs Cycle is the second process of respiration which occurs in the mitochondria of the cell. Both are the process involved in respiration with the aim of fulfilling the energy requirement of the body.

So Glycolysis is defined as the chain of the reactions, for the conversion of glucose (or glycogen) into pyruvate lactate and thus producing ATP. On the other hand, Kreb's cycle or citric acid cycle involves the oxidation of acetyl CoA into CO2 and H2O.

Respiration is the important process of all the living being, where oxygen is utilised and carbon dioxide is released from the body. During this process, energy is released, which is used to perform various functions of the body. Apart from the above two mechanisms, there are various other mechanisms of respiration such as the electron transport system, pentose phosphate pathway, anaerobic breakdown of pyruvic acid, and terminal oxidation.

To put it simply we kind of burn down (similar to what happens in a fire just in a much more efficient and controlled way) our food with oxygen to gain energy (mainly in form of ATP which can be more conveniently used for energy in other body parts) or build other molecules (like fat for long term energy storage).

Like in a normal fire this creates CO2. So our body is in constant need of oxgygen and has an excess of CO2. The lung is the place where the excess CO2 gets out of the blood and new oxygen gets in. The main purpose of our whole blood circulation is this transportation of CO2 from the other organs to the lungs and O2 from the lungs to the other organs.