Exchange bias which accompanies a magnetic hysteresis loop shift along field axis or increase in coercivity, occurs due to exchange interactions between ferromagnetic (FM) and antiferromagnetic (AFM) or in ferrimagnetic nanoparticles/nanolayers systems. Mixture of barium ferrite (BaFe12O19) and graphite was mechanically milled for different times. Phase analysis, particles morphology, magnetic properties at room temperature and magnetic properties after field cooling at 4 k were measured via XRD, HRTEM, VSM and SQUID, respectively. A nanocomposite of BaFe12O19/Fe3O4 forms after 20 and 40 h of milling. HRTEM images revealed that the nanocomposite consists of crystallites of both phases in intimate contact with crystallite sizes below 20 nm after 20 h milling. Field cooling of the 20- and 40-h milled samples up to 4 k resulted in exchange bias phenomenon. The shift in hysteresis loop for 20- and 40-h milled samples was 204 and 254 Oe, respectively. In spite of the mostly observed exchange coupling systems being ferromagnetic/antiferromagnetic systems, in this research the exchange coupling occurred between ferrimagnetic phases. The large difference between coercivity values at 300 and 4 k revealed that superparamagnetic particles constitute a large volume fraction of the milled nanocomposites.