Egg-shaped nanoparticles with a core–shell morphology were synthesized by thermal decomposition of an iron oleate complex. XRD and M(T) magnetic measurements confirmed the presence of FeO (wustite) and Fe₃O₄ (magnetite) phases in the nanoparticles. Oxidation of FeO to Fe₃O₄ was found to be the mechanism for the shell formation. As-made nanoparticles exhibited high values of exchange bias at 2 K. Oxidation led to decrease of exchange field from 2880 Oe (in as-made sample) to 330 Oe (in oxidized sample). At temperatures higher than the Néel temperature of FeO (200 K) there was no exchange bias. An interesting observation was made showing the exchange field to be higher than the coercive field at temperatures close to magnetite's Verwey transition