Non-alcoholic fatty liver disease (NAFLD) is considered the hepatic manifestation of metabolic syndrome and has become the major cause of chronic liver disease, especially in western countries. NAFLD encompasses a wide spectrum of hepatic histological alterations, from simple steatosis to steatohepatitis and cirrhosis with a potential development of hepatocellular carcinoma. Non-alcoholic steatohepatitis (NASH) is characterized by lobular inflammation and fibrosis. Several studies reported that insulin resistance, redox unbalance, inflammation, and lipid metabolism dysregulation are involved in NAFLD progression. However, the mechanisms beyond the evolution of simple steatosis to NASH are not clearly understood yet. Recent findings suggest that different oxidized products, such as lipids, cholesterol, aldehydes and other macromolecules could drive the inflammation onset. On the other hand, new evidence indicates innate and adaptive immunity activation as the driving force in establishing liver inflammation and fibrosis. In this review, we discuss how immunity, triggered by oxidative products and promoting in turn oxidative stress in a vicious cycle, fuels NAFLD progression. Furthermore, we explored the emerging importance of immune cell metabolism in determining inflammation, describing the potential application of trained immune discoveries in the NASH pathological context.