This thesis is focused on the fabrication and characterization of self-assembled arrays of magnetic iron oxide (Fe₃O₄, γ-Fe₂O₃ and Fe_1-xO) nanoparticles. The synthesis of spherical and cubic iron oxide nanocrystals, with sizes between 5 and 30 nm and narrow size distributions, is demonstrated, along with a rigorous morphological characterization of the cubic nanoparticles. The transformation of core|shell Fe_1-xO|Fe_3-δO₄ particles into single-phase Fe_3-δO₄ particles is studied in detail. It is found that anti-phase boundaries in the particles result in the emergence of anomalous magnetic properties i.e. exchange bias, and a reduced saturation magnetization compared to that of bulk Fe₃O₄. Cubic nanocrystals are assembled into arrays possessing an exceptionally high degree of translational ordering and a high degree of crystallographic alignment. A combination of electron microscopy and small-angle X-ray scattering is used in the characterization of the 3D nanostructures. The directional (anisotropic) interactions in the 3D structures are modeled in an attempt to find a link between the nanocrystal morphology and the corresponding mesostructure. Here, the cohesive van der Waals energy is estimated for a system of nanocubes with a variable truncation. The assembly of nanocubes in magnetic fields of various strengths is systematically investigated. A perturbed mesocrystal growth habit is observed at intermediate fields, whereas at high field strengths, the assembly is dominated by ferrohydrodynamic instabilities. Last, magnetometry is used to study the collective magnetic properties of self-assembled nanocrystals. The magnetic susceptibility in a weak magnetic field is studied as a function of film thickness and particle size. An increase in the tendency to form ferromagnetic couplings  with decreasing film thickness can be established. This 2D to 3D crossover of the magnetic properties of the nanoparticle arrays can be related to a change in the magnetic vortex states.