Both type 2 diabetes mellitus (T2DM) and metabolic associated fatty liver disease (MAFLD) fall within the spectrum of metabolic diseases, and they exhibit a bi-directional causal relationship and robust reciprocal association. Their shared pathological cornerstone is insulin resistance (IR), which involves the interplay of mitochondrial dysfunction and chronic inflammation, forming a cascading pathological process of "IR—mitochondrial dysfunction—inflammation." This largely explains the notable upward trend in T2DM–MAFLD co-occurrence observed over recent years. Exercise intervention, as a safe and effective non-pharmacological approach, can improve the pathological progression of these patients at multiple levels. Following the logical framework of "pathogenesis—efficacy comparison—molecular mechanisms—clinical translation", this article systematically compares the efficacy and molecular mechanisms of moderate-intensity continuous training (MICT), resistance exercise, high-intensity interval training (HIIT), and combined training. MICT reduces intrahepatic triglycerides by promoting lipolysis and improving cardiorespiratory fitness; resistance exercise increases muscle mass and basal metabolic rate, offering unique advantages in preserving muscle while reducing fat and improving insulin sensitivity; HIIT is a time-efficient exercise modality that enhances patients' cardiorespiratory fitness and insulin sensitivity by alternating brief periods of vigorous exertion with recovery periods, with a prominent short-term triglyceride-lowering effect; combined training produces synergistic effects, comprehensively improving glucolipid metabolism and showing the best long-term adherence. Mechanistically, exercise exerts its beneficial effects through three common pathways: (1)AMPK-mediated lipid oxidation and mitochondrial biogenesis; (2)IRS/PI3K/Akt-mediated insulin signaling sensitization; and (3) Nrf2/ARE anti-oxidation and TGF-β/Smads anti-fibrosis regulation. Different exercise modalities activate these pathways with distinct emphases: MICT most directly and persistently activates the AMPK pathway; resistance exercise uniquely improves IRS/PI3K/Akt signaling through muscle mass gain; HIIT induces the highest AMPK activation intensity and triggers unique lactate-mediated signaling regulation; combined training integrates the above multiple mechanistic advantages. For clinical translation, multidisciplinary team collaboration is essential to ensure safety and adherence; individualized prescriptions should be formulated according to the FITT-VP principle and patient phenotypes—frequency of 3–5 sessions/week of aerobic exercise combined with 2–3 sessions/week of resistance exercise; intensity of moderate-intensity (40%–<60% heart rate reserve (HRR))aerobic exercise and 60%–80% of one-repetition maximum (1-RM) for resistance exercise; time of at least 150 min/week of moderate-intensity aerobic exercise, 30–60 min per session; type of combined training as the preferred modality; total volume of ≥500–1 000 MET-min/week; and progression adjusted every 4–6 weeks—with real-time adjustments supported by wearable devices, ultimately forming a closed-loop management system from initial assessment to long-term follow-up. Notably, current studies have limitations such as small sample sizes and short intervention periods. Future research should focus on long-term follow-up, multi-omics biomarkers, and combined exercise-drug strategies. In conclusion, the systematic integration of structured, individualized, and sustainable exercise interventions into the multidisciplinary management pathway for patients with T2DM complicated by MAFLD is an urgent need in current clinical practice.