Non-alcoholic fatty liver disease (NAFLD) is one of the main diseases of metabolic syndrome. With the increasing popularity of NAFLD in the world, the prevention and therapy of NAFLD are facing great challenges. In recent years, scholars at home and abroad have carried out a large number of studies on NAFLD, but its pathogenesis is still unclear. Endoplasmic reticulum stress (ERS) is caused by the accumulation of unfolded or misfolded proteins. In response to ERS, cells help restore normal endoplasmic reticulum function by initiating a protective mechanism known as the unfolded protein response (UPR). Abnormal accumulation of lipids in hepatocytes, aggravated inflammatory response, increased apoptosis of hepatocytes and insulin resistance (IR) are the main pathogenic factors and characteristics of NAFLD, which are closely related to hepatic ERS. A large number of studies have shown that exercise, as a low-cost treatment, can prevent and improve NAFLD effectively, and its mechanism is related to exercise regulating the level of ERS. This paper reviews the research progress on the mechanism of exercise improving NAFLD from the point of view of ERS. The mechanism of exercise improving NAFLD is related to the regulation of hepatocyte lipid metabolism, alleviation of inflammatory reaction, reduction of hepatocyte apoptosis and improvement of IR through regulating ERS.