The comparison between NiFe₂O₄ (co-precipitation) and NiFe₂O₄@SiO₂ (co-precipitation and microemulsion) ferrite nanoparticles in their as-received and annealed form is presented. The structural characterization revealed the gradual crystallization of as-received samples induced by thermal treatment. The existence of cubic inverse spinel ferrite structure with tetrahedral and octahedral iron occupancy is confirmed in all samples by the comprehensive study. The Fourier-transform infrared (FTIR) spectroscopy confirmed the typical spinel structure and other Fe-based states, whereas the presence of nonstoichiometric hematite is detected in the annealed NiFe₂O₄ sample. In the case of nanoparticles embedded into the silica matrix, the crystallization of initially amorphous silica is revealed in structural and microstructural characterization. As shown by FTIR, the applied thermal treatment reduces the water molecules and hydroxyl units compared to the initial material. The separation of the rhombohedral hematite α-Fe₂O₃ phase in the NiFe₂O₄ ferrite evidenced during the annealing process is demonstrated in structural and magnetic studies. The analysis of saturation magnetization pointed to the spin canting phenomenon in the surface layer with a slight change of the so-called dead layer upon heating. The room temperature superparamagnetic state (SPM) is modified in the NiFe₂O₄ sample across annealing as an effect of ferrite crystallization and grain growth as well as hematite separation. For as-received NiFe₂O₄, with temperature decrease, the blocking process preceded by the freezing process is observed. The silica shell is recognized as the sustaining cover for the SPM state. The electronic structure studies confirmed the complex nature of the Fe-based states.