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Iron-based materials are widely applied in Fenton chemistry, and they have promising prospects in the processing of wastewater. The composition complexity and rich chemistry of iron and/or oxides, however, hamper the precise understanding of the active sites and the working mechanism, which still remain highly controversial. Herein, iron oxides of four different model systems are designed through a conventional precipitation method plus H₂ reduction treatment. These systems feature Fe@Fe₃O₄ with abundant oxygen vacancy, Fe⁰ and Fe₃O₄ particles with interface structures, and Fe₃O₄-dominated nanoparticles of different sizes. These materials are applied in the decomposition of methyl orange as a model reaction to assess the Fenton chemistry. The Fe@Fe₃O₄ with core–shell structures exhibits significantly higher decomposition activity than the other Fe₃O₄-rich nanoparticles. A thin Fe₃O₄ layer formed by auto-oxidation of iron particles when exposed to air can boost the activity as compared with the Fe⁰ and Fe₃O₄ particles with interface structures but poor oxygen vacancy. The unique hetero-structure with the co-existence of both metallic iron and oxygen vacancy displays excellent redox propensity, which might account for the superior Fenton activity. This finding provides a new perspective to understand and design highly efficient iron-based Fenton catalysts.