Passivated iron nanoparticles (10-30 nm) have been synthesized by laser pyrolysis of a mixture of iron pentacarbonyl and ethylene vapors followed by controlled oxidation. The nanoparticles show a well-constructed iron-iron oxide core-shell structure, in which the thickness and nature (structure similar to maghemite, gamma-Fe2O3) of the shell is found to be independent of the initial conditions. On the other hand, the composition of the core is found to change with the particle size from the alpha-Fe structure to a highly disordered Fe phase (probably containing C atoms in its structure). The dependence of the magnetic properties on the particle size, iron oxide fraction, and temperature was also investigated. In the case of smaller particles, the magnetic data indicate the existence at low temperature of a large exchange anisotropy field, the magnitude of which increases with decreasing temperature in correspondence with the freezing of magnetic moments in the oxide shell.