Exchange bias (EB) in ferromagnet/antiferromagnet (FM/AF) core/shell nanoparticles can be used to beat the superparamagnetic limit, and these core/shell nanoparticles are commonly fabricated by the ferromagnetic cores that are naturally oxidized to form an antiferromagnetic shell. The drawbacks of this method are that the EB effect is weak and hard to be controlled due to the shell passivation effect. Thus a theoretical work is conceived where the FM/AF core/shell nanoparticles are embedded into an antiferromagnetic matrix, and an antiferromagnetic proximity effect is induced to modulate the FM/AF EB effect in a controlled way. The results show that the shell/matrix proximity may enhance the magnetic stabilization of nanoparticles to generate the core/shell EB if the matrix is a hard AF. On the other hand, a rigid core/shell EB can switch its sign through thermal training by using a softly antiferromagnetic matrix. The local magnetization behaviors and energy barrier variations during magnetizing well interpreted the simulation results. It is evidenced that the proximity effect can optimize the magnetic properties of the pinning antiferromagnetic layer at will, ranging from statically magnetic stability to dynamically magnetic relaxation. This work opens fascinating possibilities for engineering of magnetic materials with desired magnetic properties, which has led to a surge in both experimental and theoretical investigations.