The increasing prevalence of obesity has made nonalcoholic fatty liver disease (NAFLD) the most common chronic liver disease. As a consequence, NAFLD and especially its inflammatory form nonalcoholic steatohepatitis (NASH) are the fastest increasing etiology of end-stage liver disease and hepatocellular carcinoma. Physical inactivity is related to the severity of fatty liver disease irrespective of body weight, supporting the hypothesis that increasing physical activity through exercise can improve fatty liver disease. This review summarizes the evidence for the effects of physical exercise on NAFLD and NASH. Several clinical trials have shown that both aerobic and resistance exercise reduce the hepatic fat content. From clinical and basic scientific studies, it is evident that exercise affects fatty liver disease through various pathways. Improved peripheral insulin resistance reduces the excess delivery of free fatty acids and glucose for free fatty acid synthesis to the liver. In the liver, exercise increases fatty acid oxidation, decreases fatty acid synthesis, and prevents mitochondrial and hepatocellular damage through a reduction of the release of damage-associated molecular patterns. In conclusion, physical exercise is a proven therapeutic strategy to improve fatty liver disease.