We have carried out magnetization measurements on BiFeO₃ core/NiFe₂O₄ shell nanoparticles, and searched for the exchange bias phenomenon in this system. The core-shell nature of these nanoparticles has been established from the transmission electron microscopy images. The neutron diffraction study establishes that the core is G-type antiferromagnetic, while the shell is ferrimagnetic in nature. The search for an exchange bias phenomenon in the core-shell system shows a shift of the field-cooled (FC) hysteresis loops, at 5K, along the magnetic field axis. The present investigation shows an unusual shift of the zero field-cooled (ZFC) hysteresis loop along the magnetic field axis as well. An enhancement of the remanent magnetization along with a decrease in the coercivity is also observed in the FC case, as compared to the corresponding values in the ZFC case, which is not found commonly in any conventional exchange-biased system. All these features indicate the presence of an interface exchange coupling between core and shell of the studied nanoparticles.