Insulin resistance (IR) and obesity may be associated with impaired response to physical exercise. We aimed at assessing physical capacity in obese children with biopsy proven non-alcoholic fatty liver disease (NAFLD) as compared to normal weight and obese children without fatty liver disease. All male subjects, 20 NAFLD and 31 control individuals (20 obese, without NAFLD and 11 normal weight children) took part in the study. We evaluated changes in cardiovascular parameters during a bicycle–ergometer exercise test (James’ test). Duration, power of exercise, heart rate (HR), blood pressure (BP), pulse pressure, cardiac output (_ICO) and total peripheral vascular resistance indexed for height (_ITPVR) were recorded at rest (_r) and peak (_p) exercise. The homeostatic model assessment was used to determine insulin resistance (HOMA-IR) and beta-cell action (HOMA-beta cell). In NAFLD and obese subjects, fasting leptin, insulin secretion, insulinogenic index (IGI), muscle insulin sensitivity (MISI) and hepatic insulin resistance index (HIRI) were assayed. Children with NAFLD were the most insulin-resistant (P = 0.001), and showed higher HIRI than obese controls (P = 0.05). At rest, they had the lowest values of SBP_r (P = 0.001 vs. controls and P ≤ 0.05 vs. obese controls); during the test, the highest values of _ICO_p (P = 0.005), Δ_ICO (P = 0.003) and ΔTRVP_p (P ≤ 0.0001). NAFLD and obese controls both had impaired ΔHR_p (P ≤ 0.0001). However, obese controls were not able to reduce peripheral resistance during the test. HOMA-IR explained 28% of variance in Δ_ICO of the whole sample, (P ≤ 0.0001). In obese children with or without NAFLD, increased IR and body weight may induce cardiovascular compensatory changes in response to physical exercise with fairly different pathogenetic mechanisms, which are likely to be dependent on the different degree of IR.