The high surface energy makes metal nano-particles reactive and easy to get oxidized or burned in the open air, which results in decreasing or entirely losing their functions and properties. In this paper, the mag netic property behavior of iron nano-particle, which is one kind of the typical magnetic nano-materials, has been investigated. The iron nano-particles were heated to different temperatures in an open-air stove. After that, they were firstly examined by TEM to observe the changes of their outline of shapes and then measured by VSM to trace the changes of their magnetic properties. The test results show that iron nano-particles can keep their magnetic property with saturation magnetic induction intensity B, around 136-161 emu/g, remanent magnetic induction intensity Br around 14.8-17.4 emu/g and coercive force Hc around 290-302 Oe when the temperature goes up to 523 K. The explanation to such outstanding oxidization-proof ability has been given that there exists a single crystal and lattice-shared Gamma-Fe2O3 shell covering the pure iron core, which prevents the spherical iron nano-particles from further oxidization.