We report observation of strong magnetic proximity coupling in a heterostructured superconductor Sr$_2$VO$_3$FeAs, determined by the upper critical fields $H_{c2}(T)$ measurements up to 65 T. Using the resistivity and the radio-frequency measurements for both $H parallel ab$ and $H parallel c$, we found a strong upward curvature of $H_{c2}^c(T)$, together with a steep increase of $H_{c2}^{ab}(T)$ near $T_c$, yielding the anisotropic factor $gamma_H=H_{c2}^{ab}/H_{c2}^c$ up to $sim$ 20, the largest value among iron-based superconductors. These are attributed to the Jaccarino-Peter effect, rather than to the multiband effect, due to strong exchange interaction between itinerant Fe spins of the FeAs layers and localized V spins of Mott-insulating SrVO$_3$ layers. These findings provide evidence for strong antiferromagnetic proximity coupling, comparable with the intralayer superexchange interaction of SrVO$_3$ layer and sufficient to induce magnetic frustration in Sr$_2$VO$_3$FeAs.
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