A colleague is a person you work with or who is employed by the same organisation as you. If you work in an office, the other people who also work in that office are your colleagues. It is similar to 'workmate' or 'co-worker'.
As a noun, 'fellow' has a completely different meaning. It's an informal word for a man, used mainly in British English. For example 'Who's that fellow over there?' would be a rather old-fashioned GB version of the more modern and American 'Who's that guy over there?'.
'Fellow' can also be used as an adjective in one specific construction. For example, if you are talking about another person who is also a passenger on the same flight as you, you can refer to that person as 'a fellow passenger'. Or you can refer to the students in the same class as you as 'my fellow students'.