In the gold standard treatment for nonalcoholic fatty liver disease (NAFLD), exercise training has been shown to effectively improve nonalcoholic steatohepatitis (NASH). However, limited data are available about the underlying mechanisms involved. This work was undertaken to investigate the mechanisms underlying the beneficial effect of exercise training on high-fat diet (HFD)-induced NAFLD in mice. Male mice were fed with HFD and given moderate-intensity exercise for 24 weeks. Exercise training lowered mass gain, attenuated systemic insulin resistance and glucose intolerance, and mitigated hepatic steatosis and fibrosis in mice fed with HFD. Exercise training improved mitochondrial function and enhanced mitochondrial β-oxidation in livers of HFD-fed mice. Exercise training enhanced hydrogen sulfide (H2S) levels in plasma and livers, and mRNA expression of cystathionine β-synthase (CBS), cystathionine γ-lyase (CES), and 3-mercaptopyruvate sulfurtransferase (3-MST) in livers of HFD-fed mice. Exercise training had no significant effect on the ratio of LC3-II/LC3-I, but decreased p62 protein expression in livers of HFD-fed mice. Additionally, exercise training reduced formation of malondialdehyde, enhanced ratio of GSH/GSSG, and down-regulated expression of TNF-α and IL-6 in livers of HFD-fed mice. Exercise training restored bioavailability of H2S and promoted autophagy influx in livers, which might contribute to its benefit on HFD-induced NAFLD.