This study is to understand the effect of oxidation, especially magnetically, on iron nanoparticles. According to generation of the oxidated iron nanoparticles, mechanical alloying technique was used and nanosized magnetite (Fe3O4) maghemite (gamma-Fe2O3) and hematite (alpha-Fe2O3) particles were obtained as the resultant samples. The reactance to the thermal treatment was determined by differential thermal analysis and thermogravimetric (DTA-TG) measurements. X-ray powder diffractions (XRD) helped to exhibit the structure of the sample by ICDD cards and to determine the size of nanoparticles by using the Scherrer formula. On the other hand, VSM (vibrating sample magnetometer) measurements were determined to understand the magnetic behaviour. Through the transformation of Fe3O4 to other iron-oxides, two exothermic peaks were observed at around 169.11 degrees C and 562.61 degrees C by DTA analysis. Beside of this, the experimental results demonstrate the effects of mechanical milling parameters, atmosphere and lubricant, to the structure and to the size of the resultant particles and the change of magnetic behavior of the iron-oxide and iron nanoparticles when they approach to superparamagnetic region, especially in single domain region.