We have deposited iron/alumina multilayers (ML) on sapphire wafers using rf magnetron sputtering. In the aim to study their thermal behavior, MLs have been annealed under a controlled atmosphere. The phase identification has been mainly performed by a combination of classical diffractometry (phi/2-phi) and grazing incidence scattering, completed by Fe-57 Mossbauer spectroscopy. The superstructure of the ML has been checked by small-angle x-ray scattering. Finally, magnetic properties have been studied by room-temperature bulk magnetization. Without treatment, Fe/Al2O3 MLs consist of alternating amorphous alumina and polycrystalline iron. Thermal annealings at temperatures ranging between 573 and 873 K give evidence for segregation at the interfaces. We have evaluated the Fe-Al2O3 interdiffusion coefficient in the range of temperature from 873 to 1273 K. Above 773 K, we observe the co-existence of Fe-2+ and metallic bcc and fcc Fe. Competition between interfacial and shape magnetic anisotropy is found to be dependent on the presence of the fcc iron.