Nonalcoholic fatty liver disease (NAFLD) is a pathological syndrome characterized by excessive fat deposition in hepatocytes. A sedentary lifestyle is a major risk factor for NAFLD, and regular exercise is considered a cornerstone of NAFLD treatment independent of weight loss. Even low-intensity activity could have beneficial effects on NAFLD. Fibroblast growth factor 21 (FGF21), a cytokine mainly secreted by the liver, improves glucolipid metabolism, reduces inflammation and oxidative stress, increases insulin sensitivity, and acts on multiple organs through autocrine, paracrine, and endocrine actions. Both clinical trials and animal experiments have shown a high correlation between liver fat content and circulating blood FGF21 levels, and abnormal FGF21 signaling appears to be an important mechanism for the development of NAFLD. FGF21 is an exerkine that responds to exercise; therefore, it may be a key target in exercise to improve NAFLD. This review provides an overview of NAFLD and its pathogenesis, and summarizes the effects of exercise intervention on NAFLD, as well as the role of FGF21 in NAFLD. Emphasis is placed on possible mechanisms for improving NAFLD by targeting FGF21 during exercise.