Non-Alcoholic Fatty Liver Disease (NAFLD) is characterized by intra-hepatocyte triglyceride accumulation and concomitant involvement of the immune system with subsequent histological changes, tissue damage, and clinical findings. There are various molecular pathways involved in the progression of NAFLD including lipotoxicity, endoplasmic reticulum stress, and the immune response. Both innate and adaptive immune systems are involved in the NAFLD pathogenesis, and crosstalk between the immune cells and liver cells participates in its initiation and progression. Among the various treatments for this disease, new cell based therapies have been proposed. Extracellular vesicles (EVs) derived from mesenchymal stem cells (MSC) (MSC-EVs) are new cell-free vehicles with low immunogenicity, which can suppress detrimental immune responses in inflamed tissues. This review aimed to express the immune system's molecular pathways associated with the initiation and progression of NAFLD. Then, the possible role of MSC-EVs in the treatment of this entity through immune response modulation was discussed. Finally, engineered EVs enhanced by specific therapeutic miRNA were suggested for alleviating the pathological cellular events in liver disease.