This is hard to answer. Mainly because no one really has any clue at all.
In the cozy confines of the standard model of particle physics, nothing is 'smaller' than the elementary particles. They aren't made of anything.
In exactly the same way, light (being treated as a particle, as you may or may not know) is also just an elementary particle.
Is energy made of something? Yes and no. 'Energy' doesn't really exist. Is always goes with something. The energy of a photon, the energy of an electron. It's never alone. So 'yes' in the sense that energy is 'made of' everything else. Without anything, there is nothing to have energy. But then again, energy isn't really anything.