Structure and magnetic properties of aerosol nanoparticles of Fe and its alloys (FeMn, FeNi, FeNiMn, FePt, FeCr, FeCo, and FeCu) have been reviewed. It has been shown that, compared to a bulk material, the particles have a number of specific features being of much fundamental and applied interest. The effect of both a quenched high-temperature Fe modification and its oxides on the structure and magnetism of nanoparticles has been considered in detail. Particular attention has been paid to the recently observed fine structure in the hyperfine field distribution at iron nuclei in Mössbauer spectra for pure iron and its alloys both as a bulk and aerosol nanoparticles. This phenomenon makes it possible to reveal very weak magnetic interactions in the system under study. The plausible origin of these magnetic interactions has been also discussed.