For the first time, two groups of iron-containing zeolites (MFI type) of general compositions (Hx)[Fex3+Si12−x4+O24] (FeHZSM-5, module Si/Fe = 34; hydrothermal method) and Fe2O3/(Hx)[Al3+xSi4+12−xO24] × wH2O with the Fe2O3 polycrystalline initial content 10, 35, 50 wt%. (Fe2O3/AlHZSM-5, Si/Al = 12, 25, 40; precipitation from the solutions and gas phase) were synthesized and studied. It was found (XRD, EXAFS/XANES, XPS, FTIR spectroscopies) that FeHZSM-5 and Fe2O3/AlHZSM-5 differ in surface compositions, the oxygen environment around Fe3+ ions, and the iron oxide state. Amorphous or nanocrystallized iron oxide phases uniformly distributed over the zeolite particles surface with the formation of Fe–O–H–O–Si(Al) bonds. In the reaction of ethanol, propane, and N2O conversion composites, Fe2O3/AlHZSM-5 are more active than FeHZSM-5 in the low-temperature region. The conversion degree of ethanol, propane, and N2O is suppressed with an increase in the zeolite module Si/Al, the initial Fe2O3 content, and when replacing nanosized Fe2O3 with the amorphous one in the composites.