Ferromagnetic insulators have received widespread attention for applications in novel low power consumption spintronic devices. Further optimizing the robust ferromagnetic insulating and developing multifunctional ferromagnetic insulator by integrating other magnetic property can not only ease or pave the way for actual application, but also provide an additional freedom degree for device designing. In this work, by introducing antiferromagnetic CoO into ferromagnetic insulator LaMnO3, we have constructed (1-x)LaMnO3:xCoO composite thin films. The films simultaneously show robust ferromagnetic insulator characteristics and large exchange bias. For x = 0.5 sample, the resistivity is 120 Ω·cm at 250 K while the magnetization is 100 emu/cm3 and the exchange bias field is -2200 Oe at 10 K. Especially, the blocking temperature is up to 140 K. Synchrotron radiation x-ray absorption spectroscopy reveals the coexistence of Mn3+, Mn2+, Co2+ and Co3+, arising from interfacial charge transfer and space charge/defect trapping, should be responsible for the enhanced and integrated multifunctional magnetic properties.