This study demonstrates the effect of addition of Fe particles of different sizes on the critical properties of the superconductor MgB₂. Bulk MgB₂ is synthesized by ball milling Mg and B powders with Fe particles at 900°C. When Fe particles with size less than 10 μm are added in MgB₂, they easily react with B and form the FeB phase, resulting in a reduction in the amount of the MgB₂ phase and deterioration of the crystallinity. Accordingly, both the critical temperature and the critical current density are significantly reduced. On the other hand, when larger Fe particles are added, the Fe₂B phase forms instead of FeB due to the lower reactivity of Fe toward B. Accordingly, negligible loss of B occurs, and the critical properties are found to be similar to those of the intact MgB₂.