The adsorption of water vapor at the surface of magnetite nanoparticles has been investigated both by experimental and by computer simulation methods. The water vapor adsorption/desorption isotherm has been measured on freshly prepared magnetite nanocrystals of the size below 10 nm. The change of the isosteric heat of adsorption with the surface coverage has been determined from the temperature dependence of this isotherm using the isosteric method. The adsorption isotherm has also been determined by performing a set of grand canonical Monte Carlo simulations at 300 K. X-ray photoelectron spectroscopy results as well as the temperature and coverage dependence of the isosteric heat of adsorption clearly indicates that dissociative chemisorption of the water molecules in the first adsorption layer occurs at the bare magnetite surface, resulting in a high density of surface hydroxyl groups. This dissociative chemisorption is followed by a multilayer physisorption of water at higher pressures. Computer simulation results can reproduce excellently both the adsorption isotherm and the isosteric heat of adsorption beyond the first chemisorbed layer of water. Results of the computer simulations reveal that physisorbed water forms several well-distinguished molecular layers on the magnetite surface; however, these layers are not built up sequentially. Instead, the building up of several molecular layers occurs simultaneously. The adsorption of the water molecules in this range appears to be a nucleation-like process, resulting in a rather rough external surface of the adsorption layer.