In the context of ghost-free, infinite derivative gravity, we provide a quantum mechanical framework in which we can describe astrophysical objects devoid of curvature singularity and event horizon. In order to avoid ghosts and singularity, the gravitational interaction has to be nonlocal; therefore, we call these objects nonlocal stars. Quantum mechanically a nonlocal star is a self-gravitational bound system of many gravitons interacting nonlocally. Outside the nonlocal star the spacetime is well described by the Schwarzschild metric, while inside we have a nonvacuum spacetime metric which tends to be conformally flat at the origin. Remarkably, in the most compact scenario the radius of a nonlocal star is of the same order of the Buchdahl...