Coating of iron oxides on submicrospheres of alumina was carried out by the sonochemical method. Three kinds of alumina were used, namely, the as-prepared, 700 and 1000°C heated-alumina. TEM results reveal various coating effects on different heat-treated substrates. The optimum coating is obtained on as-prepared amorphous alumina, in which most of the iron oxide particles are adhered to alumina spheres tightly, while in the sample coated on crystallized alumina heated at 1000°C, most of the iron oxide particles remain separate from the alumina spheres. The strong interaction between iron oxides and alumina substrate was directly observed by XRD, TEM, and IR and magnetic measurements. Owing to the strong interaction between adhered iron particles and alumina substrate, the complete transformation of γ-Fe2O3 to α-Fe2O3 was retarded to higher than 700°C; conversely, the presence of haematite can induce the formation of α-Al2O3 at the high temperatures. TEM images clearly show the changes of particle size and morphology for samples at the different heating stages and the combination degree of iron oxide with alumina substrate. At a low temperature, IR results show that iron or iron carbonyl compound is interacted with the isolated OH groups on alumina surface. At high temperatures, the iron ions can incorporate into the defect sites of alumina and form a solid solution at the interface. Magnetization measurements show the existence of elemental iron in as-prepared sample coated on crystallized alumina.