Materials with exceptional magnetism and superconductivity usually conceive emergent physical phenomena. Here, we investigate the physical properties of the (Eu,La)FeAs2 system with double magnetic sublattices. The parent EuFeAs2 shows anisotropy-associated magnetic behaviors, such as Eu-related moment canting and exchange bias. Through La doping, the magnetic anisotropy is enhanced with ferromagnetism of Eu2+ realized in the overdoped region, and a special exchange bias of the superposed ferromagnetic/superconducting loop revealed in Eu0.8La0.2FeAs2. Meanwhile, the Fe-related antiferromagnetism shows unusual robustness against La doping. Theoretical calculation and 57Fe Mossbauer spectroscopy investigation reveal a doping-tunable dual itinerant/localized nature of the Fe-related antiferromagnetism. Coexistence of the Eu-related ferromagnetism, Fe-related robust antiferromagnetism, and superconductivity is further revealed in Eu0.8La0.2FeAs2, providing a platform for further exploration of potential applications and emergent physics. Finally, an electronic phase diagram is established for (Eu,La)FeAs2 with the whole superconducting dome adjacent to the Fe-related antiferromagnetic phase, which is of benefit for seeking underlying clues to high-temperature superconductivity.