The whole supply chain of fossil fuels is carbon-intensive, from infrastructure to extraction to transportation to refining to transport again to combustion. Every step contributes to climate change.
Wood pellets are nearly carbon neutral because by burning wood pellets you are substituting combustion of the wood for the inevitable rotting of the wood that occurs when trees inevitably die. Combustion of wood pellets creates CO2, and rotting wood creates CO2 and methane, both of which cycle back into plants. The rest of the carbon cycle, remains in place. It is the never-ending carbon cycle which keeps the atmosphere in balance if new carbon is not continually added, as is the case with combustion of fossil fuels, of course.