Non-alcoholic fatty liver disease (NAFLD) is the most common cause of chronic liver disease worldwide. Although previous studies have demonstrated that exercise independently reduces hepatic steatosis measured by imaging modalities in NAFLD, the effect of exercise on histological endpoints remains unclear. We aimed to conduct a systematic review of the independent effect of exercise on hepatic steatosis, steatohepatitis, and liver fibrosis as measured by histological assessment or non-invasive tests (NITs) in biopsy-proven NAFLD. A systematic literature search of PubMed, Embase, and Web of Science databases was performed using keywords related to exercise, NAFLD, and biopsy. Articles were selected based on the following inclusion criteria: (1) involved human subjects with biopsy-proven NAFLD, (2) analyzed the independent effect of exercise, (3) assessed changes in hepatic steatosis, steatohepatitis, or liver fibrosis via either histological evaluation or NITs, and (4) were original research studies. We identified a total of six studies that analyzed the independent effect of exercise on histological endpoints in biopsy-proven NAFLD. Two randomized controlled trials (RCTs) did not detect significant histological improvement following exercise interventions, while other non-randomized interventional studies showed that exercise reduces hepatocyte ballooning and liver fibrosis. In addition, five studies assessed NIT outcomes, collectively demonstrating that exercise improves hepatic steatosis measured by magnetic resonance imaging-based techniques but not serum biomarkers for steatohepatitis and liver fibrosis. Additional large RCTs and meta-analyses are warranted to investigate the independent effect of exercise on histological and clinical outcome endpoints in NAFLD.