Magnetic doping and proximity coupling can open a band gap in a topological insulator (TI) and give rise to dissipationless quantum conduction phenomena. Here, by combining these two approaches, we demonstrate a novel TI superlattice structure that is alternately doped with transition and rare earth elements. An unexpected exchange bias effect is unambiguously confirmed in the superlattice with a large exchange bias field using magneto-transport and magneto-optical techniques. Further, the Curie temperature of the Cr-doped layers in the superlattice is found to increase by 60 K compared to a Cr-doped single-layer film. This result is supported by density-functional-theory calculations, which indicate the presence of antiferromagnetic ordering in Dy:Bi2Te3 induced by proximity coupling to Cr:Sb2Te3 at the interface. This work provides a new pathway to realizing the quantum anomalous Hall effect at elevated temperatures and axion insulator state at zero magnetic field by interface engineering in TI heterostructures.