van der Waals (vdW) magnetic materials provide an ideal platform to study low-dimensional magnetism. However, observations of magnetic characteristics of these layered materials truly distinguishing them from conventional magnetic thin film systems have been mostly lacking. In an effort to investigate magnetic properties unique to vdW magnetic materials, we examine the exchange bias effect, a magnetic phenomenon emerging at the ferromagnetic-antiferromagnetic interface. Exchange bias is observed in the naturally oxidized vdW ferromagnet Fe₃GeTe₂, owing to an antiferromagnetic ordering in the surface oxide layer. Interestingly, the magnitude and thickness dependence of the effect is unlike those expected in typical thin-film systems. We propose a possible mechanism for this behavior, based on the weak interlayer magnetic coupling inherent to vdW magnets, demonstrating the distinct properties of these materials. Furthermore, the robust and sizable exchange bias for vdW magnets persisting up to relatively high temperatures presents a significant advance for realizing practical two-dimensional spintronics.