Magnetic exchange bias is a phenomenon whereby the hysteresis loop of a 'soft' magnetic phase is shifted by an amount H E along the applied field axis owing to its interaction with a 'hard' magnetic phase. Since the discovery of exchange bias fifty years ago(1), 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(2-6). 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(7-14).