Iron oxide nanoclusters have been prepared by the gas-phase aggregation technique to form thin film structures with very high exchange bias values (up to 3000 Oe at low temperatures). Composition has been analysed by x-ray absorption and Mossbauer spectroscopies in order to elucidate the actual origin of the observed magnetic behaviour. The formation of a metal-oxide core-shell arrangement to explain the observed exchange bias has to be discarded since results show no metallic iron content and the main presence of alpha-Fe2O3. The observed weak ferromagnetism and exchange bias are in agreement with the obtained size of alpha-Fe2O3 nanoparticles: weak ferromagnetism because of the well-known spin canting in this antiferromagnetic structure and exchange bias because of the interaction between different spin sublattice configurations promoted by the modification of iron coordination in alpha-Fe2O3 nanoparticles. Moreover, the preparation method is proposed for tuning both magnetization and exchange bias values by modification of the preparation conditions of alpha-Fe2O3 nanoparticles, which open new possibilities in the design of new materials with required properties.