Building roads or tracks doesn't make sense for animals, and freely rotating parts difficult on larger organisms. On the flip side, our human engineering often hasn't put energy efficiency so high up the priority list.
Even considering land animals, look at African Elephants. They can walk for days without water and weigh ~6,000 - 10,000lbs. Considerably slower than a truck with a similar weight, but still likely several times more efficient traveling over unpaved dirt.
We optimize for different things, and can be more efficient under very specific circumstances (consider Voyager, for example :P). But when it comes to packing efficiency into a small package we don't hold a candle to nature.
We'll get there eventually, and much faster than evolution did, but our technology is still in its infancy. Consider brains! What you get out of even a tiny mouse brain is bonkers when you consider what little fuel it needs.