The mechanism and conditions for the phase transformations from α-Fe₂O₃ to Fe₃O₄ and Fe₃O₄ to γ-Fe₂O₃ nanoparticles have been investigated by the thermal analysis method. The morphologies and structures of various nanoparticles after annealing in H₂ : Ar at 294 °C and in an O₂ atmosphere at 302 °C have been examined and characterized. Finally, we confirmed that the monodisperse, porous and magnetic γ-Fe₂O₃ nanoparticles could be obtained by annealing the α-Fe₂O₃ nanoparticles synthesized by the hydrothermal route.