Advanced quantitative TEM/EDXS methods were used to characterize different ultrastructures of magnetic Fe–Au core–shell nanoparticles formed by laser ablation in liquids. The findings demonstrate the presence of Au-rich alloy shells with varying composition in all structures and elemental bcc Fe cores. The identified structures are metastable phases interpreted by analogy to the bulk phase diagram. Based on this, we propose a formation mechanism of these complex ultrastructures. To show the magnetic response of these magnetic core nanoparticles protected by a noble metal shell, we demonstrate the formation of nanostrands in the presence of an external magnetic field. We find that it is possible to control the lengths of these strands by the iron content within the alloy nanoparticles.