We report on a room temperature spontaneous exchange bias (SEB) effect in La0.67Sr0.33MnO3/PbZr0.8Ti0.2O3/La0.67Sr0.33MnO3 (LSMO/PZT/LSMO) sandwich structure, where PZT is a discontinuous film producing somewhat the direct touch of two LSMO layers. The exchange coupling between the top and bottom LSMO, which, respectively, behaves as the antiferromagnetic and ferromagnetic layer, is demonstrated to be responsible for the SEB effect. The formation of antiferromagnetic LSMO is ascribed to the large strain imposed through the PZT seed layer, whose thickness profoundly affects the SEB behavior. Thus, our finding provides an appealing alternative way to generate exchange bias by strain engineering.