The magnetic properties and exchange bias effect is investigated in the polycrystalline sample La2O3Mn2Se2 synthesized by conventional solid-state reaction. The susceptibility data show a broad maximum near 260 K, indicating the existence of two-dimensional short-range ordering in this compound. The sharp cusp in the zero field-cooled susceptibility at about 162 K signifies the antiferromagnetic (AFM) phase transition, and the upturn means the existence of the weak ferromagnetic (FM) magnetization. Moreover, the temperature dependence of the Laudé g-factor obtained by the electron spin resonance spectrum shows a sharp upturn at about 165 K close to the Néel temperature TN determined by the susceptibility measurement. These results further demonstrate the coexistence of the AFM and FM magnetization in the compound. Through measuring the hysteresis loops, a large exchange bias effect is observed in the compound implying the potentially technological applications of La2O3Mn2Se2. The exchange coupling at the FM/AFM interface is responsible for the exchange bias phenomena.