Exchange bias arises from the interfacial exchange coupling in ferromagnet-antiferromagnet bilayers and manifests as a horizontal shift of the magnetic hysteresis loop, constituting a critical component underpinning a broad range of magnetoresistive logic and memory devices. The facile implementation of exchange bias in van der Waals (vdW) magnets would be a key step towards practical devices for emerging vdW spintronics. Here, we report an easy approach to establishing strong exchange bias in the vdW magnet Fe5GeTe2 by a single-step process - atomic layer deposition (ALD) of oxides on Fe5GeTe2. We successfully created exchange bias of 300-1500 Oe in Fe5GeTe2/Al2O3, Fe5GeTe2/ZnO, and Fe5GeTe2/V2O5 heterostructures, at 130 K. Control experiments showed that increasing the oxidant pulse duration in each ALD cycle or utilizing the stronger oxidant O3 can enhance the exchange bias strength, revealing the key role of the ALD oxidants. Our systematic work elucidates the essential role of ALD-enabled oxidization of Fe5GeTe2 in the formation of exchange bias, and establishes ALD of oxides as a facile, controllable, and generally effective approach to creating giant exchange bias in vdW magnets, representing an integral advance towards practical vdW spintronic devices.