Fe/CoO heterostructures were realized by depositing Fe thin films on CoO nanoparticle arrays. Magnetization measurements revealed that 1 nm Fe exhibits a superparamagnetic behavior at 300 K and a super spin-glass state at temperatures below 80 K. The superparamagnetic as well as super spin-glass state vanishes for higher Fe film thicknesses once Fe starts to form a continuous layer across the CoO nanoparticle arrays. Furthermore, all samples exhibit an exchange bias effect at 6 K after field cooling, with a maximum exchange bias field of about 60 Oe for a Fe thickness of 2 nm. M-H loops of thicker Fe samples show a two-step magnetization reversal where Fe in the area in between CoO nanoparticles reverses at low fields, while, in proximity to the CoO nanoparticles, Fe switches at substantially higher fields. Both reversals are exchange biased.