Experiments on the solid-state reaction between iron ore particles and MgO were performed to investigate the coating mechanism of MgO on the iron ore particles’ surface during fluidized bed reduction. MgO powders and iron ore particles were mixed and compressed into briquettes and, subsequently, roasted at different temperatures and for different time periods. A Mg-containing layer was observed on the outer edge of the iron ore particles when the roasting temperature was greater than 1173 K. The concentration of Fe in the Mg-containing layer was evenly distributed and was approximately 10wt%, regardless of the temperature change. Boundary layers of Mg and Fe were observed outside of the iron ore particles. The change in concentration of Fe in the boundary layers was simulated using a gas–solid diffusion model, and the diffusion coefficients of Fe and Mg in these layers at different temperatures were calculated. The diffusion activation energies of Fe and Mg in the boundary layers in these experiments were evaluated to be approximately 176 and 172 kJ/mol, respectively.