Metabolic dysfunction-associated steatotic liver disease (MASLD), previously known as nonalcoholic fatty liver disease (NAFLD), is the main cause of chronic liver disease in children and adolescents. Indeed, epidemiological studies have shown that MASLD affects up to 40% of children with obesity. Despite the recent approval of medications that target weight loss in adolescents that could have benefits on pediatric MASLD, lifestyle interventions, such as diet and exercise, remain the mainstay of our therapeutic approach. More specifically, studies on diet alone have focused on the possible role of carbohydrate or fat restriction, albeit without a definite answer on the best approach. Weight loss after dietary intervention in children with obesity and MASLD has a beneficial effect, regardless of the diet used. In relation to the role of exercise in MASLD reversal, indirect evidence comes from studies showing that a sedentary lifestyle leading to poor fitness, and low muscle mass is associated with MASLD. However, research on the direct effect of exercise on MASLD in children is scarce. A combination of diet and exercise seems to be beneficial with several studies showing improvement in surrogate markers of MASLD, such as serum alanine aminotransferase and hepatic fat fraction, the latter evaluated with imaging studies. Several dietary supplements, such as vitamin E, probiotics, and omega-3 fatty acid supplements have also been studied in children and adolescents with MASLD, but with equivocal results. This review aims to critically present available data on the effects of lifestyle interventions, including diet, exercise, and dietary supplements, on pediatric MASLD, thus suggesting a frame for future research that could enhance our knowledge on pediatric MASLD management and optimize clinicians’ approach to this vexing medical condition.