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Together with its comorbidities, nonalcoholic fatty liver disease (NAFLD) is likely to rise further with the obesity epidemic. However, the literature’s evidence shows how its progression can be reduced by the administration of calorie-restrictive dietary interventions and physical activity regimens. The liver function and the gut microbiota have been demonstrated to be closely related. With the aim of ascertaining the impact of a treatment based on the combination of diet and physical activity (versus physical activity alone), we recruited 46 NAFLD patients who were divided into two groups. As a result, we traced the connection between volatile organic compounds (VOCs) from fecal metabolomics and a set of statistically filtered clinical variables. Additionally, we identified the relative abundances of gut microbiota taxa obtained from 16S rRNA gene sequencing. Statistically significant correlations emerged between VOCs and clinical parameters, as well as between VOCs and gut microbiota taxa. In comparison with a physical activity regimen alone, we disclose how ethyl valerate and pentanoic acid butyl ester, methyl valerate, and 5-hepten-2-one, 6-methyl changed because of the positive synergistic effect exerted by the combination of the Mediterranean diet and physical activity regimens. Moreover, 5-hepten-2-one, 6-methyl positively correlated with <i>Sanguinobacteroides</i>, as well as the two genera <i>Oscillospiraceae-UCG002</i> and <i>Ruminococcaceae UCG010</i> genera.