Exchange bias and coercivity are both studied numerically in antiferromagnetic/ferromagnetic (AFM/FM) bilayers in the presence of a rough interface. The roughness is modeled by an AFM atomic mesa of variable width, in a periodic bidimensional system. Unlike the flat interface case, roughness can favor the presence of magnetic interfacial frustration or the formation of sharp magnetic domain walls pinned within the first AFM planes, inside the AFM mesa, in a Peierls potential well. We demonstrate by using athermal steepest-descent calculations that irreversible processes can occur during the hysteresis loops, when the AFM mesa width is less than half of the system period. In this case, the depinning of the domain wall from the Peierls potential well during the descending branch is not followed by its rewinding in a certain range of the AFM anisotropy. This leads to a large increase of both exchange bias and coercivity at low temperature and to an athermal training effect. When the thermal activation is taken into account by using Monte Carlo simulations, we show that a random walk of the domain wall occurs within the AFM layer. These processes induce changes in the AFM spin configuration when the system is cycled several times and produce a thermally activated training effect. Our simulations, interpreted in the context of periodic Peierls potential, provide an explanation for two important features of the exchange bias phenomenon, i.e., the thermal variation of its characteristic fields and the different contributions giving rise to the training effect (AFM bulk vs interface). More generally, the presence of interfacial atomic roughness reduces both exchange bias and coercivity with respect to the perfect interface case.