If you look in a microscope, everything is moving around even when everything is still. The warmer it gets, and the smaller the particles get, the more they move.

This is called Brownian motion, and it is explained by matter being made of particles that push against everything and when the matter is small enough the energy of individual particles is enough to jostle things around. It isn't the only proof, but it's good evidence that matter is made of molecules, and that heat is related to the movement of those particles.

It was Albert Einstein who described Brownian motion mathematically which was one of the major things which helped tip the consensus of scientists towards atomic theory rather than something else.

(I know, you weren't asking but I thought Brownian motion is pretty cool so I decided to share anyway)