Nanoparticles of antiferromagnetic LaFeO₃ were prepared by the sol-gel method. An exchange bias effect has been observed and is attributed to the exchange coupling between the ferromagnetic shell and antiferromagnetic core of the particles. The results provide clear evidence of the presence of spontaneous exchange bias in this system. After field cooling from room temperature, the exchange bias increases while the coercivity decreases with decreasing temperature. Taking into account the role of thermal activation, the temperature dependence of exchange bias and coercivity has been interpreted in terms of the spontaneous exchange bias mechanism proposed recently.