Non‐alcoholic fatty liver disease (NAFLD) is considered as one of the most common diseases of lipid metabolism disorders, which is closely related to bile acids disorders and gut microbiota disorders. Bile acids are synthesized from cholesterol in the liver, and processed by gut microbiota in intestinal tract, and participate in metabolic regulation through the enterohepatic circulation. Bile acids not only promote the consumption and absorption of intestinal fat but also play an important role in biological metabolic signaling network, affecting fat metabolism and glucose metabolism. Studies have demonstrated that exercise plays an important role in regulating the composition and function of bile acid pool in enterohepatic axis, which maintains the homeostasis of the enterohepatic circulation and the health of the host gut microbiota. Exercise has been recommended by several health guidelines as the first‐line intervention for patients with NAFLD. Can exercise alter bile acids through the microbiota in the enterohepatic axis? If so, regulating bile acids through exercise may be a promising treatment strategy for NAFLD. However, the specific mechanisms underlying this potential connection are largely unknown. Therefore, in this review, we tried to review the relationship among NAFLD, physical exercise, bile acids, and gut microbiota through the existing data and literature, highlighting the role of physical exercise in rebalancing bile acid and microbial dysbiosis.