Natural purified mordenite from Palmarito de Cauto (ZP) deposit, Cuba, was subjected to a hydrothermal ion exchange process in acid medium with Fe2+ or Fe3+ salts (Fe2+ZP and Fe3+ZP). The set of samples was characterized regarding their textural properties, morphology, and crystallinity, and tested in the NO reduction with CO/C3H6. Infrared spectroscopy coupled with NO as a probe molecule was used to give a qualitative description of the Fe species’ nature and distribution. The exchange process caused an increase in the iron loading of the samples and a redistribution, resulting in more dispersed Fe2+ and Fe3+ species. When contacted with the NO probe, Fe2+ZP showed the highest intensity of nitrosyl bands, assigned to NO adducts on isolated/highly dispersed Fe2+/Fe3+ extra-framework sites and FexOy clusters. This sample is also characterized by the highest NO sorption capacity and activity in NO reduction. Fe3+ZP showed a higher intensity of nitrosonium (NO+) species, without a correlation to NO storage and conversion, pointing to the reactivity of small FexOy aggregates in providing oxygen atoms for the NO to NO+ reaction. The same sites are proposed to be responsible for the higher production of CO2 observed on this sample, and thus to be detrimental to the activity in NO SCR.