Epitaxial magnetite (Fe3O4) thin films have been grown on MgO(001) substrates by pulsed laser deposition. The films have characteristics of the “Verwey transition”: the electric conductivity decreases by about one order of magnitude and the magnetization curve shows anomaly at the transition temperature, i.e. about 125 K. Effects of annealing the Fe3O4 thin films at various oxygen partial pressures have also been investigated. Phase identification was made using XRD techniques and infrared reflectivity measurements. The surface morphologies were studied by SEM and AFM. Under an oxidizing atmosphere, the Fe3O4 phase is transformed mainly into α-Fe2O3, and this transformation is accompanied by development of needle-like structures along <110> directions of MgO substrate. It is also found that electrical and magnetic properties of the iron oxide films are changed significantly by the annealing process.