Non-alcoholic fatty liver disease (NAFLD) affects 5.5–10.3% of children worldwide, while in obese individuals, it increases to almost 34%. Pediatric NAFLD is consistently associated with metabolic syndrome and insulin resistance. As no pharmacological agents exist for the treatment of NAFLD, lifestyle modifications remain the only therapy. However, as not all overweight/obese children have NAFLD, high-quality data, focused exclusively on NAFLD population are needed. Therefore, the present systematic review assessed the efficacy of lifestyle (diet or exercise) based on randomized controlled clinical trials (RCTs) on liver, anthropometric, glucose, and lipid parameters in children, with imaging or biopsy-proven NAFLD. In general, the results were inconclusive and therefore no specific recommendations could be drawn. In most studies, differences were derived from within group comparisons, which are known to be highly misleading. However, both low-carbohydrate and low-fat diets could benefit liver outcomes, as long as weight loss is achieved, but not necessary glucose and lipid parameters. No RCTs were found on exercise alone, as compared to no intervention on pediatric NAFLD. Concerning diet plus exercise interventions, all studies led to improvements in liver outcomes accompanied with weight loss. Resolution of NAFLD was found in considerably high percentages, while improvements were also seen in glucose but were modest in lipid parameters.