Core–shell YFeO3@Al2O3 structure was obtained using advanced synthesis process. YFeO3@Al2O3 assemble was achieved by coating individual YFeO3 particles with several nanometers thickness of alumina-shell. After that, the particles characterization and the thickness control of the magnetic core/alumina interface were investigated by X-ray diffraction, scanning electron microscopy and transmission electron microscopy. Finally, the magnetic properties of the resulting system were investigated. We found that the alumina-shell thickness diminishes the magnetization values and enhance the exchange bias effect at low magnetic field. This fact is explained by the pinning the weak ferromagnetic and antiferromagnetic domains wall motion at the interface of the core/shell during the descending and ascending magnetization in the hysteresis curves. The results prove that the weak-ferromagnetic and the antiferromagnetic ordering not only coexist but also they are weakly coupled in YFeO3.