Engineering interfaces specifically in quantum dot (QD) heterostructures provide several prospects for developing multifunctional building block materials. Precise control over internal structure by chemical synthesis offers a combination of different properties in QDs and allows us to study their fundamental properties, depending on their structure. Herein, we studied the interface of magnetic/nonmagnetic Fe3O4/CdS QD heterostructures. In this work, we demonstrate the decrease in the size of the magnetic core due to annealing at high temperature by the decrease in saturation magnetization and blocking temperature. Furthermore, surprisingly, in a prominently optically active and magnetically inactive material such as CdS, we observe the presence of substantial exchange bias in spite of the nonmagnetic nature of CdS QDs. The presence of exchange bias was proven by the increase in magnetic anisotropy as well as the presence of exchange bias field (HE) during the field-cooled magnetic measurements. This exchange coupling was eventually traced to the in situ formation of a thin antiferromagnetic FeS layer at the interface. This is verified by the study of Fe local structure using X-ray absorption fine structure spectroscopy, demonstrating the importance of interface engineering in QDs.