Maghemite nanoparticles functionalised with Co(II) coordination complexes at their surface show a significant increase of their magnetic anisotropy, leading to a doubling of the blocking temperature and a sixfold increase of the coercive field. Magnetometric studies suggest an enhancement that is not related to surface disordering, and point to a molecular effect involving magnetic exchange interactions mediated by the oxygen atoms at the interface as its source. Field- and temperature-dependent X-ray absorption spectroscopy (XAS) and X-ray magnetic circular dichroism (XMCD) studies show that the magnetic anisotropy enhancement is not limited to surface atoms and involves the core of the nanoparticle. These studies also point to a mechanism driven by anisotropic exchange and confirm the strength of the magnetic exchange interactions. The coupling between the complex and the nanoparticle persists at room temperature. Simulations based on the XMCD data give an effective exchange field value through the oxido coordination bridge between the Co(II) complex and the nanoparticle that is comparable to the exchange field between iron ions in bulk maghemite. Further evidence of the effectiveness of the oxido coordination bridge in mediating the magnetic interaction at the interface is given with the Ni(II) analog to the Co(II) surface-functionalised nanoparticles. A substrate-induced magnetic response is observed for the Ni(II) complexes, up to room temperature.