Single monolayer FeSe film grown on a Nb-doped SrTiO_{3}(001) substrate shows the highest superconducting transition temperature (T_{C}∼100 K) among the iron-based superconductors (iron pnictides), while the T_{C} value of bulk FeSe is only ∼8 K. Although bulk FeSe does not show antiferromagnetic order, calculations suggest that the parent FeSe/SrTiO_{3} films are antiferromagnetic. Experimentally, because of a lack of a direct probe, the magnetic state of FeSe/SrTiO_{3} films remains mysterious. Here, we report direct evidence of antiferromagnetic order in the parent FeSe/SrTiO_{3} films by the magnetic exchange bias effect measurements. The magnetic blocking temperature is ∼140 K for a single monolayer film. The antiferromagnetic order disappears after electron doping.