We demonstrate the thermally induced phase transformations between Fe₃O₄, γ-Fe₂O₃ and FeO ultrathin iron oxide films, which are part of all-oxide heterostructures, and present a comprehensive thermodynamic analysis of the emerging interfacial redox processes. We thereby reveal the essential – but mostly underrated – role of oxide substrates, which can completely alter the standard Fe_xO_y temperature–pressure phase diagram as an additional oxygen supplier or scavenger. We introduce an adjusted phase diagram specifically for Fe_xO_y/Nb:SrTiO₃ and Fe_xO_y/YSZ heterostructures based on a total effective oxygen activity. This novel approach opens up the route towards tuning physical functionalities in all-oxide heterostructures by a controlled thermal phase design.