Reproducible animal models to recapitulate the pathophysiology of non-alcoholic fatty liver disease (NAFLD) are urgently required to improve the understanding of the mechanisms of liver injury and to explore novel therapeutic options. Current guidelines recommend life-style interventions as first-line therapy for NAFLD and these types of intervention are considered standard-of-care. The current study establishes a reproducible mouse model of a life-style intervention in NAFLD using voluntary wheel running (VWR). Male C57BL/6J mice were fed a high-fat, high-carbohydrate diet (HFD) to induce NAFLD or a corresponding control diet for 12 weeks. Starting at week 9 of the obesogenic NAFLD diet, mice were randomized to either free access to a running wheel or being single caged resembling a sedentary (SED) life-style. VWR induced a transient weight reduction in HFD-fed mice up until week 10. In contrast to the SED mice, VWR mice exhibited normal ALT at the end of the intervention, while the metabolic alterations including elevated fasting glucose, insulin, triglyceride, and total cholesterol levels remained almost unchanged. Additionally, VWR prevented HFD-induced hepatic steatosis by alterations in key liver metabolic processes including the induction of fatty acid β-oxidation and lipogenesis inhibition following increased AMP-activated protein kinase (AMPK)-α activity. Phosphorylation of the serine kinase Akt in hepatic tissue was enhanced following VWR. Furthermore, VWR mice were protected from HFD-induced expression of pro-inflammatory cytokines, chemokines and liver macrophage infiltration. The SED/HFD group exhibited increasing activity of hepatic nuclear factor (NF)-κB p65, which was absent following exercise in the VWR/HFD group. In summary, in an obesogenic mouse model of NAFLD physical exercise improves fatty acid and glucose homeostasis and protects from macrophage-associated hepatic inflammation.