Exercise remains a key component of nonalcoholic fatty liver disease (NAFLD) treatment. The mechanisms that underpin improvements in NAFLD remain the focus of much exploration in our attempt to better understand how exercise benefits patients with NAFLD. In this review, we summarize the available scientific literature in terms of mechanistic studies which explore the role of exercise training in modulating fatty acid metabolism, reducing hepatic inflammation, and improving liver fibrosis. This review highlights that beyond simple energy expenditure, the activation of key receptors and pathways may influence the degree of NAFLD-related improvements with some pathways being sensitive to exercise type, intensity, and volume. Importantly, each therapeutic target of exercise training in this review is also the focus of previous or ongoing drug development studies in patients with nonalcoholic steatohepatitis (NASH), and even when a regulatory-agency-approved drug comes to market, exercise will likely remain an integral component in the clinical management of patients with NAFLD and NASH.