Magnetic exchange bias is a phenomenon whereby the hysteresis loop of a 'soft' magnetic phase is shifted by an amount HE along the applied field axis owing to its interaction with a 'hard' magnetic phase. Since the discovery of exchange bias fifty years ago, the development of a general theory has been hampered by the uncertain nature of the interfaces between the hard and soft phases, commonly between an antiferromagnetic phase and a ferro- or ferrimagnetic phase. Exchange bias continues to be the subject of investigation because of its technological applications and because it is now possible to manipulate magnetic materials at the nanoscale. Here we present the first documented example of exchange bias of significant magnitude (>1 T) in a natural mineral. We demonstrate that exchange bias in this system is due to the interaction between coherently intergrown magnetic phases formed through a natural process of phase separation during slow cooling over millions of years. Transmission electron microscopy studies show that these intergrowths have a known crystallographic orientation with a known crystallographic structure and that the interfaces are coherent.