Powders of Fe–Mg–O nanocomposite particles have been grown using a novel chemical vapor synthesis approach that employs the decomposition of a metalorganic precursor inside the metal combustion flame. After annealing in controlled gas atmospheres composition distribution functions, structure and phase stability of the obtained magnesiowüstite nanoparticles are measured with a combination of techniques such as inductively coupled plasma‐optical emission spectroscopy, energy dispersive X‐ray spectroscopy, X‐ray diffraction, and scanning and transmission electron microscopy. Complementary Mössbauer spectroscopy measurements reveal that depending on Fe loading and temperature of annealing either metastable and superparamagnetic solid solutions of Fe3+ ions in periclase (MgO) or phase separated mixtures of MgO and ferrimagnetic magnesioferrite (MgFe2O4) nanoparticles can be obtained. The described combustion technique represents a novel concept for the production of mixed metal oxide nanoparticles. Adressing the impact of selected annealing protocols, this study underlines the great potential of vapor phase grown non‐equilibrium solids, where thermal processing provides means to trigger phase separation and, concomitantly, the emergence of new magnetic properties.