In this study, Fe3O4 nanoparticles are prepared by the co‐precipitation method. γ‐Fe2O3 and α‐Fe2O3 nanoparticles are obtained by calcining Fe3O4 nanoparticles for 6 h at 200 and 600 °C. The physicochemical properties of the prepared nanoparticles are investigated by field‐emission scanning electron microscopy, X‐ray diffraction, Fourier transform infrared spectroscopy, Brunauer–Emmett–Teller, and Barrett–Joyner–Halenda methods. The gas sensors based on a quartz crystal microbalance (QCM) coated with Fe3O4, γ‐Fe2O3, and α‐Fe2O3 nanoparticles are fabricated and analyzed. The as‐fabricated QCM sensors displayed a high capability for detecting SO2 at room temperature. Among the sensors, the γ‐Fe2O3 nanoparticles coated QCM sensor exhibited the best response. Moreover, the sensor shows good repeatability and long‐term stability. The correlation between the phase composition of the iron oxide nanoparticles and SO2 sensing performance is also discussed in detail.