One of the focuses of non-alcoholic fatty liver disease (NAFLD) treatment is exercise. Randomized controlled trials investigating the effects of exercise without dietary changes on NAFLD-related clinical parameters (liver parameters, lipid metabolism, glucose metabolism, gut microbiota, and metabolites) were screened using the PubMed, Scopus, Web of Science, and Cochrane databases on 13 February 2020. Meta-analyses were performed on 10 studies with 316 individuals who had NAFLD across three exercise regimens: aerobic exercise, resistance training, and a combination of both. No studies investigating the role of gut microbiota and exercise in NAFLD were found. A quality assessment via the (RoB)2 tool was conducted and potential publication bias, statistical outliers, and influential cases were identified. Overall, exercise without significant weight loss significantly reduced the intrahepatic lipid (IHL) content (SMD: −0.76, 95% CI: −1.04, −0.48) and concentrations of alanine aminotransaminase (ALT) (SMD: −0.52, 95% CI: −0.90, −0.14), aspartate aminotransaminase (AST) (SMD: −0.68, 95% CI: −1.21, −0.15), low-density lipoprotein cholesterol (SMD: −0.34, 95% CI: −0.66, −0.02), and triglycerides (TG) (SMD: −0.59, 95% CI: −1.16, −0.02). The concentrations of high-density lipoprotein cholesterol, total cholesterol (TC), fasting glucose, fasting insulin, and glycated hemoglobin were non-significantly altered. Aerobic exercise alone significantly reduced IHL, ALT, and AST; resistance training alone significantly reduced TC and TG; a combination of both exercise types significantly reduced IHL. To conclude, exercise overall likely had a beneficial effect on alleviating NAFLD without significant weight loss. The study was registered at PROSPERO: CRD42020221168 and funded by the European Union’s Horizon 2020 research and innovation program under the Marie Skłodowska-Curie grant agreement no. 813781.