Exchange bias phenomena are observed in the bulk polycrystalline Ni49.5Mn34.5In16 alloy in which ferromagnetic and antiferromagnetic phases coexist in the martensitic state. Both the exchange bias field and coercivity are strongly dependent on temperature. The training effect of the exchange bias is found to be very small in the present alloy and can be explained by the depinning of uncompensated antiferromagnet spins. These results suggest that the ferromagnetic and antiferromagnetic domains couple at the interfaces and as a result induce the exchange bias. Such behavior is an addition to the multifunctional properties of the Ni49.5Mn34.5In16 ferromagnetic shape memory alloy.