Non-alcoholic fatty liver disease (NAFLD) leads to steatohepatitis (NASH), fibrosis, and hepatocellular carcinoma. For sedentary patients, lifestyle interventions combining exercise and dietary changes are a cornerstone of treatment. However, the benefit of exercise alone when dietary changes have failed is uncertain. We query whether exercise alone arrests the progression of NASH and tumorigenesis in a choline-deficient, high-fat diet (CD-HFD) murine model. Male C57Bl/6N mice received a control diet or CD-HFD for 12 weeks. CD-HFD mice were randomized further for 8 weeks of sedentariness (SED) or treadmill exercise (EXE). CD-HFD for 12 weeks produced NAFL. After 20 weeks, SED mice developed NASH and hepatic adenomas. Exercise attenuated the progression to NASH. EXE livers showed lower triglycerides and tumor necrosis factor-α expression, less fibrosis, less ballooning, and a lower NAFLD activity score than did SED livers. Plasma transaminases and triglycerides were lower. Exercise activated AMP-activated protein kinase (AMPK) with inhibition of mTORC1 and decreased S6 phosphorylation, reducing hepatocellular adenoma. Exercise activated autophagy with increased LC3-II/LC3-I and mitochondrial recruitment of phosphorylated PTEN-induced kinase. Therefore, exercise attenuates the transition from NAFL to NASH, improves biochemical and histological parameters of NAFLD, and impedes the progression of fibrosis and tumorigenesis associated with enhanced activation of AMPK signaling and favors liver autophagy. Our work supports the benefits of exercise independently of dietary changes.