Background: Steatotic liver disease associated with metabolic dysfunction (MASLD) affects up to about 30% of the general adult population and is closely related to obesity and the metabolic syndrome. Cortisol, a stress-related hormone contributing to hepatic fat accumulation and insulin resistance, also promotes progression of the disease. The study aims to investigate the impact of lifestyle modifications on cortisol levels and hepatic steatosis in patients with MASLD. Methods: In a 16-week three-arm randomized trial, 42 patients were randomly assigned to three groups who received dietary advice (CG), dietary advice combined with aerobic exercise (AE + DA), or dietary advice with high-intensity interval training (HIIT + DA). Before the start, after 2 months of intervention, and at the end of the project, medical evaluations, routine biochemical assessments, and psychological questionnaires were analyzed. At baseline and at the end of 4 months, hepatic steatosis was evaluated by Fibroscan®. Results: In the study population, severe hepatic steatosis (74%) and obesity (98%) were prevalent at the beginning of the study. A statistically significant (p-value = 0.001) reduction in circulating cortisol levels was observed over time in the two groups doing exercise, especially in HIIT + DA (p-value = 0.006). Hepatic steatosis, assessed by Fibroscan®, disappeared in 10 participants (CAP value < 248, p-value = 0.003). CAP values and waist circumference decreased in all groups, statistically significantly in the AE + DA group (p-value = 0.005; p-value = 0.04, respectively). Conclusions: The study emphasizes the benefits of combining diet and exercise in managing MASLD. HIIT + DA significantly decreased cortisol levels, while AE + DA was the most potent intervention for reducing hepatic steatosis.