Non-alcoholic fatty liver disease (NAFLD) is to date the most common chronic liver disease in clinical practice and, consequently, a major health problem worldwide. It affects approximately 30% of adults in the general population and up to 70% of patients with type 2 diabetes (T2DM). Despite the current knowledge of the epidemiology, pathogenesis, and natural history of NAFLD, no specific pharmacological therapies are until now approved for this disease and, consequently, general strategies have been proposed to manage it. They include: (a) lifestyle change in order to promote weight loss by diet and physical activity, (b) control of the main cardiometabolic risk factors, (c) correction of all modifiable risk factors leading the development and progression of advanced forms of NAFLD, and (d) prevention of hepatic and extra-hepatic complications. In the last decade, several potential agents have been widely investigated for the treatment of NAFLD and its advanced forms—shedding some light but casting a few shadows. They include some glucose-lowering drugs (such as pioglitazone, glucagon-like peptide-1 (GLP-1) receptor agonists, sodium-glucose co-transporter-2 (SGLT-2) inhibitors), antioxidants (such as vitamin E), statins or other lipid lowering agents, bile and non-bile acid farnesoid X activated receptor (FXR) agonists, and others. This narrative review discusses in detail the different available approaches with the potential to prevent and treat NAFLD and its advanced forms.