Magnetic iron oxides, such as Fe3O4, α-Fe2O3, γ-Fe2O3, have unique magnetic, catalytic and biochemical features, rendering them suitable for several specific technological and biomedical applications. In a previous study, for instance, we considered the magnetite Fe3O4 nanoparticles dispersed in supporting materials to obtain composites that can better respond to electromagnetic interferences with an increased EMI shielding effectiveness. Here we investigate how to distinguish the iron oxide nanoparticles by means of their Raman spectra. We will stress that literature is evidencing a challenge. This challenge is due to the fast transformations of iron oxides when laser power is applied. Therefore, the Raman spectroscopy needs to be considered carefully for determining the nature of the iron oxide present in the investigated samples. The role of oxidation of magnetite will be addressed in detail. In the review, the reader can find the Raman “fingerprints” of some oxides and hydroxides: Magnetite, Maghemite, Hematite, Goethite and Lepidocrocite.