The structural, electronic, and magnetic characterization of sputtered MnO2−δ/ZnO films showing room temperature ferromagnetism has been carried out by a number of techniques. To elucidate the origin of the ferromagnetic order, a novel approach by studying XAS and XMCD signals at both Mn and Zn K edges in combination with the macroscopic magnetization measurements has been performed. The analysis of the XAS profile at the Mn edge indicates the coexistence of Mn4+/Mn3+ with a slightly distorted MnO2−δ environment. The XMCD signal at the Zn K edge indicates the existence of an intrinsic magnetic moment in Zn. The Zn edge dichroic intensity is, however, 1 order of magnitude lower than in the case of Mn, being the magnetic moment of Mn, 2.1–2.4 μB per Mn cation participating in the ferromagnetic phase, the main contribution to the total magnetization. The ferromagnetic phase has been assigned to high-density regions of Mn cations with a MnO2−δ distorted environment, mainly allocated at the nonstoichiometric and highly defective ZnO grain boundaries, with a sufficient extension to overcome the thermal energy over room temperature. The ferromagnetic coupling has been related to modifications of the Mn–O–Mn bonds, distances, and angles, promoted by neighboring ZnO and forming stable magnetic configurations that lead to new forms of exchange interaction: ferromagnetic superexchange or a double-exchange mechanism between the Mn4+ and Mn3+. Highly defective regions and structural distortions, together with complex Mn oxidation states, appear to be key features in the magnetic properties of Mn–Zn–O.