Fetal life and the first few months after birth represent a plastic age, defined as a “window of opportunity”, as the organism is particularly susceptible to environmental pressures and has to adapt to environmental conditions. Several perturbations in pregnancy, such as excessive weight gain, obesity, gestational diabetes mellitus and an inadequate or high-fat diet, have been associated with long-term metabolic consequences in offspring, even without affecting birth weight. Moreover, great interest has also been focused on the relationship between the gut microbiome of early infants and health status in later life. Consistently, in various epidemiological studies, a condition of dysbiosis has been associated with an increased inflammatory response and metabolic alterations in the host, with important consequences on the intestinal and systemic health of the unborn child. This review aims to summarize the current knowledge on the origins of NAFLD, with particular attention to the potential implications of intrauterine life and the early postnatal period. Due to the well-known association between gut microbiota and the risk of NAFLD, a specific focus will be devoted to factors affecting early microbiota formation/composition.