Background: Polycystic Ovary Syndrome (PCOS) is one of the most common endocrine disorders in women’s reproductive period of life. The presence of nonalcoholic fatty liver disease NAFLD, one of the leading causes of chronic liver disease in the Western world, is increased in women with PCOS. This review aims to present current knowledge in epidemiology, pathophysiology, diagnostics, and treatment of NAFLD in PCOS with an emphasis on the molecular basis of development of NAFLD in PCOS women. Methods: Authors investigated the available data on PCOS and NAFLD by a MEDLINE and Pub Med search during the years 1990–2021 using a combination of keywords such as “PCOS”, “NAFLD”, “steatohepatitis”, “insulin resistance”, “hyperandrogenaemia”, “inflammation”, “adipose tissue”, and “obesity”. Peer-reviewed articles regarding NAFLD and PCOS were included in this manuscript. Additional articles were identified from the references of relevant papers. Results: PCOS and NAFLD are multifactorial diseases, The development of NAFLD in PCOS women is linked to insulin resistance, hyperandrogenemia, obesity, adipose tissue dysfunction, and inflammation. There is the possible role of the gut microbiome, mitochondrial dysfunction, and endocannabinoid system in the maintenance of NAFLD in PCOS women. Conclusions: There is a need for further investigation about the mechanism of the development of NAFLD in PCOS women. New data about the molecular basis of development of NAFLD in PCOS integrated with epidemiological and clinical information could influence the evolution of new diagnostic and therapeutic approaches of NAFLD in PCOS.