Among the available nanoparticles, those based on iron oxide are of particular interest due to their biological safety, magnetic properties, potential for imparting desired physico-chemical properties, and capacity for surface modifications with biocompatible, bioactive materials, ligands and antibodies. An important aspect of nanoparticles that determines their possibilities and range of clinical applications is their biocompatibility profile. Toxic effects can arise due to mechanisms mediated by reactive oxygen species (ROS); therefore, the development of nanoparticles intended for biomedical applications requires special attention to safety assessment in terms of the generation of oxidative stress. In this study, we examined the application of various shells (based on polylactide, polysaccharide, or albumin) on the dose-dependent effect of magnetite nanoparticles (MNPs) on the generation of ROS in stimulated human blood cells, as well as on the dynamics of the induced oxidative hemolysis of erythrocytes. MNPs with a shell of polylactide, albumin, and polysaccharide, in the range of all the used concentrations (0.1–2.0 mg/mL) and throughout the entire incubation period (0–180 min), did not affect the kinetics of the chemiluminescence response, while providing a unidirectional but differently pronounced decrease in the maximum intensity of induced chemiluminescence and total ROS production. All types of investigated nanoparticles in the range of concentrations from 1.0 to 2.0 mg/mL provided a dose-dependent enhancement of this effect. Under conditions of induced ROS generation, the various MNP shells did not modify the effects of these nanoparticles and only regulated their intensity. MNPs with a polylactide shell had a maximum effect.