We report on the characterization of metallurgical phases and their magnetism at the interfaces of nanoscale MgB₂/Fe layered structures. MgB₂/⁵⁷Fe multilayers with varying layer thicknesses were prepared by vacuum deposition and investigated, before and after annealing by electrical resistance measurements, x-ray diffraction and ⁵⁷Fe conversion-electron Mössbauer spectroscopy (CEMS) down to 5 K. Interfacial Fe-B phases, such as Fe₂B, were identified by CEMS. A superparamagnetic-to-ferromagnetic transition is observed with increasing ⁵⁷Fe film thickness. Ultrahigh vacuum annealing at 500^°C of the multilayers leads to strong diffusion of Fe atoms into the boundary regions of the MgB₂ layers. MgB₂ in the as-grown multilayers is non-superconducting. Structural disorder and the effect of Fe interdiffusion contribute to the suppression of superconductivity in the MgB₂ films of all the as-grown multilayers and the thinner annealed multilayers. However, an annealed MgB₂/⁵⁷Fe/MgB₂ trilayer with thicker (500 Å) MgB₂ layers is observed to be superconducting with an onset temperature of 25 K. At 5 K, the annealed trilayer can be conceived as being strongly chemically modulated, consisting of two partially Fe-doped superconducting MgB₂ layers separated by an interdiffused weakly magnetic Fe-B interlayer, which is characterized by a low hyperfine magnetic field Bhf of  ∼ 11 T. This chemically modulated layer structure of the trilayer after annealing was verified by Rutherford backscattering.