We report an unusual sign reversal of exchange bias (EB) across a magnetic compensation point in an orthorhombic perovskite SmFeO3. A conventional negative EB with a positive vertical magnetization shift is observed below a cluster-glass freezing temperature (Tg ∼ 150 K). Upon further lowering of the temperature, the EB disappears at the magnetic compensation point before reversing its sign to a positive exchange bias below 4 K. The EB effect originates from an interfacial exchange interaction within a cluster glass phase, whereas its sign reversal arises from the reversal of the direction of the net magnetic moment as a result of dominance of Sm3+ over Fe3+ below the compensation temperature. The existence of a multi-glass state is demonstrated by ac-susceptibility and electrical permittivity measurements. A phenomenological model is presented to understand the EB effect and its sign reversal across the compensation point.