Non-alcoholic fatty liver disease (NAFLD) is the major public health challenge for hepatologists in the twenty-first century. NAFLD comprises a histological spectrum ranging from simple steatosis or fatty liver, to steatohepatitis, fibrosis, and cirrhosis. It can be categorized into two principal phenotypes: (1) non-alcoholic fatty liver (NAFL), and (2) non-alcoholic steatohepatitis (NASH). The mechanisms of NAFLD progression consist of lipid homeostasis alterations, redox unbalance, insulin resistance, and inflammation in the liver. Even though several studies show an association between the levels of lipid oxidation products and disease state, experimental evidence suggests that compounds such as reactive aldehydes and cholesterol oxidation products, in addition to representing hallmarks of hepatic oxidative damage, may behave as active players in liver dysfunction and the development of NAFLD. This review summarizes the processes that contribute to the metabolic alterations occurring in fatty liver that produce fatty acid and cholesterol oxidation products in NAFLD, with a focus on inflammation, the control of insulin signalling, and the transcription factors involved in lipid metabolism.