Alcohol metabolism causes an excessive accumulation of liver lipids and inflammation, resulting in liver damage. The yellow pigments monascin (MS) and ankaflavin (AK) of Monascus purpureus-fermented rice were proven to regulate ethanol-induced damage in HepG2 cells, but the complete anti-inflammatory and anti-fatty liver mechanisms in the animal model are still unclear. This study explored the roles of MS and AK in improving alcoholic liver injury. MS and AK were simultaneously fed to evaluate their effects and mechanisms in C57BL/6J mice fed the Lieber–DeCarli liquid alcohol diet for 6 weeks. The results indicated that MS and AK significantly reduced the serum aspartate aminotransferase and alanine aminotransferase activity, as well as the total liver cholesterol and triglyceride levels. The histopathological results indicated that MS and AK prevented lipid accumulation in the liver. MS and AK effectively enhanced the activity of antioxidant enzymes and reduced the degree of lipid peroxidation; AK was particularly effective and exhibited a superior preventive effect against alcoholic liver injury and fatty liver. In addition to inhibiting the phosphorylation of the MAPK family, MS and AK directly reduced TNF-α, IL-6, and IL-1β levels, thereby reducing NF-κB and its downstream iNOS and COX-2 expressions, as well as increasing PPAR-γ, Nrf-2, and HO-1 expressions to prevent liver damage. MS and AK also directly reduced TNF-α, IL-6, and IL-1β expression, thereby reducing the production of NF-κB and its downstream iNOS and COX-2, and increasing PPAR-γ, Nrf-2, and HO-1 expressions, preventing alcohol damage to the liver.