Motivated by the recently synthesized layered material MoSi2N4, we investigate excitonic response of quasiparticle of monolayer MoSi2N4 by using G0W0 and Bethe-Salpeter equation calculations. With a dually sandwiched structure consisting of a central MoN2 layer analog of 2H-MoS2 capped with silicon-nitrogen (SiN) honeycomb outer layers, MoSi2N4 possesses frontier orbitals confined at the central MoN2 layer with similar subvalley at the K point as 2H-MoS2. The valley splitting (∼130meV) due to the spin-orbital coupling gives rise to a doublet in the spectrum. Excitons in MoSi2N4 show a strong binding energy up to 0.95 eV with the optical band gap of 2.44 eV. Both electronic and optical gaps are highly sensitive to tensile strains and become redshifted, albeit a marginal change of exciton binding energy. With the protection of capped SiN layers, quantum confined excitons in MoSi2N4 without the need of additional passivation layer like BN would provide a bright platform for robust emission with partially screened disturbance from environment.