The formation, structure, and thermal and magnetic properties of MFe2O4@SiO2 (M = Co, Mn, Zn, Ni, Cu) (60% MFe2O4/40% SiO2) nanocomposites produced by a modified sol-gel method, followed by annealing at 300, 600, 900 and 1200 °C, were studied. The thermal analysis and Fourier transform infrared spectroscopy showed the formation of metal-glyoxylates below 210 °C and their decomposition into the corresponding ferrite around 300 °C. The evolution of crystalline phases and variation of crystallite sizes differs from ferrite to ferrite and depends on the annealing temperature. The magnetic measurements revealed the dependence of saturation and remanent magnetization, coercivity, and anisotropy on ferrite type, annealing temperature, and particle size. By annealing the nanocomposites (NCs) at 1200 °C paramagnetic MnFe2O4, CoFe2O4, NiFe2O4 and CuFe2O4 and antiferromagnetic ZnFe2O4 are obtained.