Non-alcoholic fatty liver disease (NAFLD) has become the most common liver disorder in Western countries and is increasingly being recognized in developing nations. Fatty liver disease encompasses a spectrum of hepatic pathology, ranging from simple steatosis to non-alcoholic steatohepatitis, cirrhosis, hepatocellular carcinoma and end-stage liver disease. Moreover, NAFLD is often associated with other metabolic conditions, such as diabetes mellitus type 2, dyslipidemia and visceral obesity. The most recent guidelines suggest the management and treatment of patients with NAFLD considering both the liver disease and the associated metabolic co-morbidities. Diet and physical exercise are considered the first line of treatment for patients with NAFLD, but their results on therapeutic efficacy are often contrasting. Behavior therapy is necessary most of the time to achieve a sufficient result. Pharmacological therapy includes a wide variety of classes of molecules with different therapeutic targets and, often, little evidence supporting the real efficacy. Despite the abundance of clinical trials, NAFLD therapy remains a challenge for the scientific community, and there are no licensed therapies for NAFLD. Urgently, new pharmacological approaches are needed. Here, we will focus on the challenges facing actual therapeutic strategies and the most recent investigated molecules.