α-Fe₂O₃ nanoparticles have been formed on a flexible polyimide (PI) substrate via an ion-exchange and in situ oxidation process in air, which involved doping the ferrous (Fe²⁺) ions into modified layers of PI films and a subsequent thermal treatment converted Fe²⁺ into α-Fe₂O₃ nanoparticles. These nanoparticles would migrate and aggregate compactly onto the surfaces, and thus form continuous layers with semi-conductivity. The phase transition of α-Fe₂O₃ to Fe₃O₄ nanolayers occurred when the PI/α-Fe₂O₃ composite films were heated under a continuous hydrogen/nitrogen gas flow. The effects of the thermal treatment conditions on the oxidation behaviors of Fe²⁺ and the micro-structures of α-Fe₂O₃ and Fe₃O₄ nanolayers were investigated by X-ray diffraction (XRD), scanning electron microscopy (SEM) and transmission electron microscopy (TEM). The phase transition of α-Fe₂O₃ to Fe₃O₄ was confirmed by XRD and high-resolution transmission electron microscopy (HRTEM). Vibrating Sample Magnetometer (VSM) measurements showed that the PI/α-Fe₂O₃ and PI/Fe₃O₄ composite films presented antiferromagnetism and ferrimagnetism respectively. Both composite films maintained the excellent thermal stability and flexibility of the pure PI films.