Non-alcoholic fatty liver disease (NAFLD) as a chronic disease especially in Western countries, is still a tough question in the clinical therapy. With the rising prevalence of various chronic diseases, liver transplantation is expected to be the most common therapy after the next 10 years. However, there is still no approved drug for NAFLD, and targeted therapy for NAFLD is urgent. Exosomes as a kind of extracellular vesicle are cell-derived nanovesicles, which play an essential role in intercellular communication. Due to complex cell-cell interactions in the liver, exosomes as therapeutic drugs or drug delivery vesicles may be involved in physiological or pathological processes in NAFLD. Compared with other nanomaterials, exosomes as a cell-free therapy, are not dependent on cell number limitation, which means can be administered safely in high doses. Apart from this, exosomes with the advantages of being low-toxic, high stability, and low-immunological are chosen for targeted therapy for many diseases. In this review, firstly we introduced the extracellular vesicles, including the biogenesis, composition, isolation and characterization, and fundamental function of extracellular vesicles. And then we discussed the modification of extracellular vesicles, cargo packing, and artificial exosomes. Finally, the extracellular vesicles for the therapies of NAFLD are summarized. Moreover, we highlight therapeutic approaches using exosomes in the clinical treatment of NAFLD, which provide valuable insights into targeting NAFLD in the clinical setting.