The wide spectrum of exotic properties exhibited by transition-metal oxides stems from the complex competition between several quantum interactions. The capacity to select the emergence of specific phases at will is nowadays extensively recognized as key for the design of diverse new devices with tailored functionalities. In this context, interface engineering in complex oxide heterostructures has developed into a flourishing field, enabling not only further tuning of the exceptional properties of these materials, but also giving access to hidden phases and emergent physical phenomena. Here we demonstrate how interfacial interactions can induce a complex magnetic structure in a non-magnetic material. We specifically show that exchange bias can unexpectedly emerge in heterostructures consisting of paramagnetic LaNiO3 (LNO) and ferromagnetic LaMnO3 (LMO). The observation of exchange bias in (111)-oriented LNO-LMO superlattices, manifested as a shift of the magnetization-field loop, not only implies the development of interface-induced magnetism in the paramagnetic LNO layers, but also provides us with a very subtle tool for probing the interfacial coupling between the LNO and LMO layers. First-principles calculations indicate that this interfacial interaction may give rise to an unusual spin order, resembling a spin-density wave, within the LNO layers.