In this paper, the diffusion behavior between MgO and Fe₂O₃ (the main iron oxide in pellets) is investigated using a diffusion couple method. In addition, the distribution regulation of MgO in MgO-bearing pellets is analyzed via pelletizing experiments. The results illustrate that MgO is prone to diffuse into Fe₂O₃ in the form of solid solution; the diffusion rate considered here is 13.64 µm·min^-1. Most MgO content distributes in the iron phase instead of the slag phase. The MF phase {(Mg_1-x Fe_x)O·Fe₂O₃, x ≤ 1} is generated in the MgO-bearing pellets. However, the distribution of MgO in the radial direction of the pellets is inconsistent. The solid solution portion of MgO in the MF phase is larger in the outer layer of the pellets than in the inner layer. In this work, the approximate chemical composition of the MF phase in the outer layer of the pellets is {(Mg_0.35-0.77·Fe_0.65-0.23) O·Fe₂O₃} and in the inner layer is {(Mg_0.13-0.45·Fe_0.87-0.55) O·Fe₂O₃}.