Non-alcoholic fatty liver disease (NAFLD) is an important health concern during childhood; indeed, it is the most frequent cause of chronic liver diseases in obese children. No valid pharmacological therapies for children affected by this condition are available, and the recommended treatment is lifestyle modification, usually including nutrition and exercise interventions. In this narrative review, we summarized up-to-date information on the benefits of physical exercise on NAFLD in children and adolescents with obesity. The role of exercise as non-pharmacological treatment was emphasized in order to provide recent advances on this topic for clinicians not deeply involved in the field. Several studies on obese children and adults confirm the positive role of physical activity (PA) in the treatment of NAFLD, but to date, there are no pediatric randomized clinical trials on exercise versus usual care. Among the pathogenic mechanisms involved in the PA effects on NAFLD, the main players seem to be insulin resistance and related inflammation, oxidative stress, and gut dysbiosis, but further evaluations are necessary to deeply understand whether these factors are correlated and how they synergistically act. Thus, a deeper research on this theme is needed, and it would be extremely interesting.