Carbon-based nanocomposites coated with iron oxides were synthesized using a wet impregnation method with thermally annealed coal and an iron nitrate precursor. The influence of the thermal treatment atmosphere (air, vacuum, or nitrogen) on the morphology, structure, and magnetic properties of the nanocomposites was examined by X-ray diffraction, Raman spectroscopy, and transmission electron microscopy. It was found that the vacuum thermal treatment produced carbon-based nanocomposite containing iron oxide with the highest crystallinity, according to XRD analysis, while also inducing the greatest degree of structural defects in the carbon matrix, as evidenced by Raman analysis. Mössbauer spectroscopy confirmed that all thermal treatment methods promote the formation of the hematite phase, which was found to be the only phase formed in the air-treated nanocomposites, whereas traces of magnetite and the formation of Fe(OH)₃ were detected in the vacuum- and nitrogen-treated nanocomposites, respectively. Magnetic characterization revealed that all nanocomposites exhibit ferromagnetic-like behavior, attributed to the weak ferromagnetic nature of hematite. The best magnetic response (highest saturation magnetization with the widest hysteresis loop) was observed in the vacuum-treated nanocomposites. These findings collectively demonstrate that the synthesis atmosphere plays a crucial role in tailoring the structural and magnetic characteristics of carbon-based iron oxide nanocomposites, offering pathways for their optimization in applications such as catalysis, environmental remediation, or sensing technologies.