The physical characterization of a colloidal system of superficially modified magnetic nanoparticles (MNPs) is presented. The system consists of oleic acid-coated iron oxide nanoparticles (OAMNP) suspended in water. A structural analysis is carried out by using standard physical techniques to determine the diameter and shape of the MNPs and also the width of the coating shell. The colloidal stability and the polydispersity index of this ferrofluid are determined by using Zeta potential measurements. Additionally, the magnetic characterization is conducted by obtaining the DC magnetization loops, and the blocking temperatures are determined according to the ZFC–FC protocol. Finally, the values of power absorption density P of the ferrofluid are estimated by using a magneto-calorimetric procedure in a wide range of magnetic field amplitude H and frequency f. The experimental results exhibit spherical-like shape of OAMNP with (20 ± 4) nm in diameter. Due to the use of coating process, the parameters of the magnetization loops and the blocking temperatures are significantly modified. Hence, while the uncoated MNPs show a blocking state of the magnetization, the OAMNP are superparamagnetic above room temperature (300 K). Furthermore, the reached dependence P versus f and P versus H of the ferrofluid with coated MNPs are clearly fitted to linear and quadratic correlations, respectively, showing their accordance with the linear response theory.