Fibroblast growth factor 21 (FGF21) is a hormone that participates in the regulation of energy homeostasis and is induced by dietary protein restriction. Preclinical studies have suggested that FGF21 induction exerts a protective effect against non-alcoholic fatty liver disease (NAFLD), while human studies have revealed elevated levels of and potential resistance to FGF21 in patients with NAFLD. However, whether the FGF21 pathway also contributes to NAFLD risk at the genetic level remains uncertain. A few attempts to investigate the impact of individual genetic variants at the loci encoding FGF21 and its receptors on NAFLD risk have failed to establish a clear association due to a limited effect size. Therefore, this study aimed to (1) develop a polygenic hazard score (PHS) for FGF21-related loci that are associated with NAFLD risk and (2) investigate the effect of its interaction with protein intake level on NAFLD risk. Data on 3501 participants of the Korean Genome Epidemiology Study (Ansan–Ansung) were analyzed. Eight single-nucleotide polymorphisms of fibroblast growth factor receptors and beta-klotho were selected for PHS determination using forward stepwise analysis. The association between the PHS and NAFLD was validated (p-trend: 0.0171 for men and <0.0001 for women). Moreover, the association was significantly modulated by the protein intake level in all participants as well as women (p-interaction = 0.0189 and 0.0131, respectively) but not in men. In particular, the women with the lowest PHS values and a protein intake lower than the recommended nutrient intake (RNI) exhibited a greater NAFLD risk (HR = 2.021,p-trend = 0.0016) than those with an intake equal to or greater than the RNI; however, those with higher PHS values had a high risk, regardless of protein intake level. These findings demonstrate the contribution of FGF21-related genetic variants and restricted protein intake to NAFLD incidence.