AbstractDue to the lack of any magnetic order down to 1.7 K in the parent bulk compound NdNiO₂, the recently discovered 9–15 K superconductivity in the infinite‐layer Nd_0.8Sr_0.2NiO₂ thin films has provided an exciting playground for unearthing new superconductivity mechanisms. Herein, the successful synthesis of a series of superconducting Nd_0.8Sr_0.2NiO₂ thin films ranging from 8 to 40 nm is reported. The large exchange bias effect is observed between the superconducting Nd_0.8Sr_0.2NiO₂ films and a thin ferromagnetic layer, which suggests the existence of the antiferromagnetic order. Furthermore, the existence of the antiferromagnetic order is evidenced by X‐ray magnetic linear dichroism measurements. These experimental results are fundamentally critical for the current field.