Lifestyle modifications, including increased physical activity and exercise, are recommended for non-alcoholic fatty liver disease (NAFLD). Inflamed adipose tissue (AT) contributes to the progression and development of NAFLD and oxylipins such as hydroxyeicosatetraenoic acids (HETE), hydroxydocosahexanenoic acids (HDHA), prostaglandins (PEG2), and isoprostanoids (IsoP), which all may play a role in AT homeostasis and inflammation. To investigate the role of exercise without weight loss on AT and plasma oxylipin concentrations in NAFLD subjects, we conducted a 12-week randomized controlled exercise intervention. Plasma samples from 39 subjects and abdominal subcutaneous AT biopsy samples from 19 subjects were collected both at the beginning and the end of the exercise intervention. In the AT of women, a significant reduction of gene expression of hemoglobin subunits (HBB, HBA1, HBA2) was observed within the intervention group during the 12-week intervention. Their expression levels were negatively associated with VO2max and maxW. In addition, pathways involved in adipocyte morphology alterations significantly increased, whereas pathways in fat metabolism, branched-chain amino acids degradation, and oxidative phosphorylation were suppressed in the intervention group (p < 0.05). Compared to the control group, in the intervention group, the ribosome pathway was activated, but lysosome, oxidative phosphorylation, and pathways of AT modification were suppressed (p < 0.05). Most of the oxylipins (HETE, HDHA, PEG2, and IsoP) in plasma did not change during the intervention compared to the control group. 15-F2t-IsoP significantly increased in the intervention group compared to the control group (p = 0.014). However, this oxylipin could not be detected in all samples. Exercise intervention without weight loss may influence the AT morphology and fat metabolism at the gene expression level in female NAFLD subjects.