As is widely recognized, exercise can effectively prevent and alleviate non-alcoholic fatty liver disease (NAFLD), but its mechanism remains to be further explored. In recent years, studies have revealed that the polarization of liver macrophages is closely associated with NAFLD. Based on a review of the characteristics of macrophage polarization at each stage of NAFLD, this article further analyzes the influence of exercise on macrophage polarization and its therapeutic efficacy for NAFLD. The results indicate that under normal circumstances, the resident Kupffer macrophages in the liver maintain a dynamic banlance between the pro-inflammatory M1 and anti-inflammatory M2 phenotypes. In the early stage of NAFLD, aerobic exercises of different intensities can suppress the increase of M1/M2 ratio and exert remarkable effects on the early stage of NAFLD by inhibiting the infiltration of exogenous macrophages or the polarization of Kupffer cells towards the M1 phenotype. With the further development of NAFLD, liver macrophages gradually exhibited an increased phenomenon of stress-induced M2 polarization. However, at this juncture, the principal role of M2 macrophages is manifested in facilitating the activation of hepatic stellate cells and the differentiation of the extracellular matrix, thereby inducing liver fibrosis and even cirrhosis or liver cancer. In summary, this study suggests that macrophage polarization may be a new target for exercise to prevent NAFLD. Blocking the infiltration of exogenous macrophages or inhibiting the M1 polarization of Kupffer cells may be an important strategy to prevent the progression of NAFLD. However, when the disease progresses to the stage of fibrosis, cirrhosis, or liver cancer, avoiding the stress-induced M2 polarization of macrophages may be an effective therapeutic target.